首页 | 学习中心 | 注册 登录
返回列表 发帖
anshultongia

UID
223338 
帖子
443 
主题
48 
注册时间
2011-7-11 
最后登录
2013-9-11 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 13:29 | 只看该作者

credit spread

increase, decrease, following
can someone explain the following question?

1/what is credit spread? is it like z-spread or oas, a spread needed to add to a benchmark?

2/when credit spread widen, the economy is good or bad, or no relation?

3/when credit spread increase, the common bond or bond portfolio will decrease?

thanks
收藏 分享

Houjichasan

Rank: 2

UID
223419 
帖子
295 
主题
13 
注册时间
2011-7-11 
最后登录
2014-8-7 
2#
发表于 2011-7-13 13:29 | 只看该作者
> 1/what is credit spread? is it like z-spread or oas, a spread needed to add to a benchmark?

It is not z-spred or OAS, it is simply difference b/w corporate bonds and government treasuries of same maturity...someone can throw in more detail, please...is it AAA bonds only?

TOP

Rasec

Rank: 2

UID
223461 
帖子
316 
主题
6 
注册时间
2011-7-11 
最后登录
2014-8-4 
3#
发表于 2011-7-13 13:29 | 只看该作者
these z-spreads and oas or nominal spread include also other risks, like liquidity and optional. So we should say that credit spread is the yield (or interest rate) spread that is added to credit-risk-free yield (interest rate) to reward the credit risk. But of course in caser of z-spread, nominal spread or OAS, the credit risk will play probably major part (with exception of heavily optional bonds/notes). Thats what I think

TOP

返回列表