Business and Personal Finance Dictionary

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• CREDIT SPREAD SWAP
  
  Definition: A Swap with a payoff that depends on a Credit Spread (q.v.). Examples: A Swap with a Floating Leg () that depends on the Credit Spread. Application: A lender who might share its credit exposure to a risky counterparty. Pricing: Requires advanced techniques or SWAG Pricing (q.v.). Risk management: Dynamic Hedging (q.v.) based on PV01s (q.v.), etc. Comment: Not for the cautious.
  
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