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作者: Houjichasan 时间: 2011-7-13 13:29
> 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?作者: Rasec 时间: 2011-7-13 13:29
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
