标题: Fixed Income doubt.... [打印本页] 作者: stronger 时间: 2011-7-11 18:35 标题: Fixed Income doubt....
Can someone explain to me the difference between a nominal spread and a credit spread.作者: leadcfa 时间: 2011-7-11 18:35
Credit spread is the yield spread between non treasury / treasury securities that results solely due to differences in credit rating when the securities are otherwise identical. Other differences (embedded options etc.) result in an additional spread over and above the credit spread. All incremental risks associated with a non-treasury security (including differences in credit rating) are captured in the nominal spread.
Edited 1 time(s). Last edit at Tuesday, September 21, 2010 at 04:17AM by oz001.
