Gamma
Rate of change in the delta with respect to changes in the underlying price.
Gap Risk
Risk derived from sudden moves in the interest rate.
Generic Swap
A generic or "plain vanilla" interest rate swap (e.g. spot starting, medium-term swap settled at the market rate).
GLOBEX
Electronic trading platform for maintained by the Chicago Mercantile Exchange group.
Grace Period
Period during which an issuer of a bond does not need to pay interest. For loan and insurance contracts this is the period after payment due date for which no late fees will be charged.
Guarantor
A third party who assumes responsibility of a debt obligation if the borrower defaults.
Haircut
A percentage deducted of the face value of an asset e.g. when held as collateral.
Hardwiring Protocol
The ISDA Aution Settlement Supplement and Protocol which incorporates auction settlement terms into standard CDS documentation.
Hazard Rate
The rate at which an entity is expected to move from one state to another, e.g. a reference entity moving from a default-free state to a defaulted state.
Hedge
A position entered in order to offset another position in order to minimize exposure to unwanted risks.
Hedge Fund
An investment fund typically open to a limited number of investors which pursues a wider range of investment and trading activities than the traditional long-only
Hedge Ratio
The ratio between the size of the hedge and the original (unhedged) position.
Held-to-maturity Investments
Non-derivative financial assets with fixed payments and maturity which the owner intends to hold until maturity.
High Yield Bond
A bond rated as sub investment grade.
Hivol Index
The 30 widest trading names of the investment grade credit indicies (e.g. iTraxx Europe HiVol, CDX.NA.IG.HVOL).
Hybrid Security
A security that have elements found in both equity and debt securities (e.g. convertiable bonds).