Interest Rates
CDS vs Bond Spreads
What Additional Return Does a Corporate Bond Offer Compared with a Risk-Free Instrument? Bond Spread A buyer of a corporate bond assumes the company’s credit risk. If the […]
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Category: [:en]Interest Rates[:]
Interest Rates
Market-Implied Credit Risk
A higher yield on corporate bonds indicates the presence of default risk. If we assume that the spread represents the product of default probability and loss given default: […]
Interest Rates
From Ratings to Historical Default Probabilities
A credit rating — AAA, BBB, and so on — is a compact measure of relative credit risk. It shows how risky one debtor is compared with another. […]
Interest Rates
Financial Risks
List of risks from the book – Financial Markets and Institutions – By Anthony Saunders, Marcia Cornett and Otgo Erhemjamts: Here’s the corrected list of risks from the […]
Interest Rates
Default Risk
Do You Consider Default Risk When Purchasing Bonds on the Georgian Market? If So, How Specifically? There is an interesting metric called RORAC (Return on Risk Adjusted Capital), […]
Interest Rates
Interest Rate Factors
Factors Determining the Interest Rate on a Loan/Bond: i (j) = f (IP, RIR, DRPj, LRPj, SCPj, MPj) Where, Source: Financial Markets and Institutions – by A. Saunders, […]
Interest Rates
Price-Return Curve
To assess the impact of interest rate risk on bonds and other fixed income assets, measures such as Duration, Modified Duration, Dollar Duration, Effective Duration, Convexity, and Portfolio […]