Derivatives – Page 274 – Fincyclopedia

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VaR

It stands for value-at-risk; the amount of loss that is expected, at some specific or pre-specified probability (confidence level), to...

Value at Risk

The amount of loss that is expected, at some specific or pre-specified probability (confidence level), to be reached or exceeded...

Reverse Crush Spread

A commodity trading strategy (an intercommodity spread) which involves the sale of soybean futures and the simultaneous purchase of soybean...

Reverse Knock-Out Option

A knock-out option in which the barrier is triggered when the option gets in the money (ITM). The barrier level...

PVBP

It stands for price value of a basis point; a method of measuring the price sensitivity of a fixed-income security...

Price Value of a Basis Point

A method of measuring the price sensitivity of a fixed-income security in monetary terms. This reflects absolute change in the...

Commodity Price Risk

The risk (price risk) that arises from potential changes in the prices of commodities (which in turn affect the derivative...

Spot Deferred Contract

A forward contract that grants the seller the option to defer delivery to a specific date in the future rather...

Spot Starting Swap

A swap that comes into effect two business days from its trade date. The value date of a spot start...

Spot Delta

The sensitivity of an option's price (premium) to changes in the spot market. The spot delta tells how many units...