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Risky PVBP

With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...

    SDV01

    An abbreviation for spread DV01 (of a CDS position), i.e, the spread dollar value of an 01; it captures the...

      Protection Leg

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

        Premium Leg

        A regular stream of payments made by the protection buyer to the protection seller in a default swap (a credit...

          Short CDS

          Selling a credit default swap (CDS); a short position in a credit default swap (CDS). It is equivalent to longing...

            CDS Credit Spread

            The spread/ premium that reflects the a CDS market's view of both probability of default and an assumption about the...

              CDS Premium

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

                Portfolio Swap

                A swap that references a set of single name credit default swaps. The portfolio will be customized to meet the...

                  Digital CDS

                  A binary credit default swap. Unlike standard credit default swaps (CDS) which require a valuation following a credit event (usually...

                    Quanto CDS

                    A credit default swap (CDS) in which the swap premium payments, and/or the cashflows in the case of default, are not in the same currency,...