The determinants of credit spread returns

By Jouke Hottinga and Machiel Zwanenburg

This article was first published as a chapter in Credit Derivatives, by Risk Books.

Jouke Hottinga is a risk manager at Aegon (NL). At the time of writing Machiel Zwanenburg was a quantitative researcher at Robeco Asset Management. He has been a risk manager at Robeco since July 2003.

In this chapter, we will consider the determinants of credit spread return, which is driven by both the level of and changes to the credit spread. This is important because if the credit spread of a bond increase

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