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Default Leg

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

    Protection Leg

    In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

      Basket Credit Default Swap

      A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

        Basket Default Swap

        A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

          Basket CDS

          A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

            Credit Default Swaption

            An option on credit which gives the holder the right to enter into a credit default swap at a given expiration date, at no...

              Risky DV01

              In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time. It...

                Risky PV01

                In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time. It...

                  Credit Delta

                  The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...

                    CR01

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