Credit Default Swap – Page 8

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DVOX

The sensitivity of a credit spread. It measures the change in fair value of a credit derivative (e.g., a credit...

Black Box Transaction

A portfolio default swap whose exact composition of obligors is not disclosed to the protection seller (in a credit derivative...

Swap Day Count Convention

The interest payment of a swap is determined based on compounding according to a specific day count convention (such as...

Credit Event Cash Settlement

In the context of credit default swaps (CDS) and similar credit derivatives, settlement takes place once a credit event (bankruptcy,...

Credit-Linked Note

A credit-linked hybrid that combines a note with a credit default swap. The face value of the note payable at...

Credit Quanto Spread

The quanto spread that relates to a credit derivative, particularly credit default swaps (CDSs), in which case it is known...

Credit-Linked Hybrid

A combination of an interest-bearing debt security or instrument and a credit default swap. The face value or principal amount...

DVA

An abbreviation for debt valuation adjustment (debit value adjustment). A type of cross valuation adjustment/ x-value adjustment (XVA) that takes...

Debit Value Adjustment

It is a type of cross valuation adjustment/ x-value adjustment (XVA) that takes out the effects of changes in the...

Debit Valuation Adjustment

It is a type of cross valuation adjustment/ x-value adjustment (XVA) that takes out the effects of changes in the...