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Credit derivatives terminology

By Vinod Kothari

 

 

Credit spread options: An option to swap an asset if the credit spread on a reference obligation changes and moves above or below a strike spread. For example, if the credit spread on a bond have increased above a strike spread, that is, the price of the bond has fallen, a person holding a put option on the bond or call option on the spread will be able to save himself from losses.

 

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