Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Credit spreads explained
Dominic O’Kane, Saurav Sen
Abstract
ABSTRACT
Credit investors need a measure to determine how much they are being paid to compensate them for assuming the credit risk embedded within a security. A number of such measures exist, and they are commonly known as credit spreads since they attempt to measure the return of the credit asset relative to some benchmark of higher credit quality. Each has its own strengths and weaknesses. In this article we define, describe and analyze the main credit spreads for fixed-rate bonds, floating-rate notes and the credit default swap.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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