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JGovender

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tT
发表于 2013-4-22 13:18 | 只看该作者

spread duration, credit risk and spread duration contributio

why, measures, credit, change
does spread duration measures price change given in OAS change?
if I got a AA bond, spread duration is 5, is spread duration contribution W*5 same as duration contribution?, w is the weight
is credit risk affected by supply & demand factor? why credit risk is right not left tail risk?
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lucasg85

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发表于 2013-4-22 13:18 | 只看该作者
It is not necesary to duration=spread duration, if it is (or question say they equal), then what you say is correct.
Credit risk is related to credit events/spread widening, IMO,  not much relates to supply and demand. I’m not sure about this tail part, but normaly risk relates to more on left (negative) side of the distribution

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waldziuchna

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发表于 2013-4-22 13:19 | 只看该作者
for the credit risk in the sense of otc transaction (swaps, forwards) you need the focus on the right tail of the distribution, as you are measuring the gain on the transaction and not the loss. the higher the gain the more you would loose if counterparty defaults.

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willsucceed

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4#
发表于 2013-4-22 13:19 | 只看该作者
^Great. Thanks!

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