Author : Yunkang Liu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Book Synopsis A New Concept of Credit Spread for Defaultable Bond Pricing by : Yunkang Liu
Download or read book A New Concept of Credit Spread for Defaultable Bond Pricing written by Yunkang Liu and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the corresponding survival-based pricing model, it allows fixed income portfolio consists of bonds and credit default swaps to be managed consistently in terms of default and credit spread risks. Compared with industry standard credit spreads such as yield spread, G-spread and I-spread, the new credit spread provides a better way for market participants to exchange pricing information since spread differentials between bonds with similar maturities but different coupons can be reduced or better explained. For market participants using industry standard credit spreads, a model based spread adjustment between bonds with similar maturities but different coupons is discussed. Formulae that are suitable for back-of-the-envelop calculation are derived and tested with examples.