Investor Glossary-cdr counterparty risk indexInvestor Glossary-cdr counterparty risk indexInvestor Glossary-cdr counterparty risk indexInvestor Glossary-cdr counterparty risk indexInsightful stock market charts - Click here
investor
Categories    # A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

CDR Counterparty Risk Index

The HTML to link to this page
 

The CDR counterparty risk index is a measure of credit risk associated with purchasing credit derivatives. The CDR counterparty risk index is calculated based on the average credit spread of 5-year credit default swap contracts traded by 15 major international financial institutions. The CDR counterparty risk index was launched in June 2008 by Credit Derivatives Research, LLC. CDR reports that the firms included in the CDR counterparty risk index trade about 90% of all credit default swap contracts which makes the CDR counterparty risk index a benchmark for evaluating credit risk. Bank of America, Goldman Sachs, Lehman Brothers, JPMorgan, Merrill Lynch and UBS are among those 15 firms included in the CDR counterparty risk index. CDR counterparty risk index is reported in basis points. At the time the CDR counterparty risk index was launched in June 2008, it was around 100 basis points. That was up from the 25 basis points level the CDR counterparty risk index was at in June 2007, one year prior but down from its 250 level during the Bear Sterns crisis of March 2008. The CDR counterparty risk index crossed above 430 basis points following the bankruptcy of Lehman Brothers in September 2008.



Rate this CDR Counterparty Risk Index definition...

Learn about investing with the Investor Glossary Term of the Day


Click here for insightful stock market charts. Where is the market headed? The answer may surprise you. Find out
with the exclusive & Barron's recommended charts of Chart of the Day.


Popular Terms: Key Rate Duration, margin rate, stock split, irrevocable trust, required rate of return, 1031 exchange, debt service coverage, ex-dividend, ex-dividend date, covered put, 401a, average price per share, Zero Cost Collar, deferred tax, liquidity ratio, phantom income, reverse mortgage, current ratio, 1035 exchange, inflation, class C shares, balance sheet, per diem, diluted share, wholly-owned subsidiary, annual return, VIX, option premium, limit order, EBITDA, deferred revenue, stock market close, APR, in escrow, FICO score, command economy, implied volatility, open position, risk management, dividends payable, real GDP, 144a, FTSE, minority interest, LIBOR, cancelled check, labor relations, retained earnings, quality assurance


Accounting | Banking | Bonds | Brokers | Economy | Futures | Mutual Funds | Options | Real Estate | Retirement | Stocks | Taxes | Technical Analysis
Investor Glossary | Term of the Day | Suggest a Term | Chart of the Day | Dogs of the Dow
©2004-2016 Investor Glossary - All rights reserved - Terms of Use