Basics of Credit Derivatives

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Credit derivatives terminology

By Vinod Kothari

 

Credit curve: A curve that plots credit spreads for a particular entity over different time periods – for example, 3 year spreads, 5 year spreads, 7 year spreads and so on. Usually, longer term spreads are higher due to increased probability of default over a longer term; hence, the curve has a  positive slope. See also Curve trade.

 

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