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CDS Premium

The premium (measured in basis points) that is paid to the protection seller in a credit default swap (CDS) or...

Credit Default Basis

The difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and the...

CDS Basis

The difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and the...

CR01

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...