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A Note on Credit Spread Forwards

Hertrich, Markus. (2016) A Note on Credit Spread Forwards. Journal of Advanced Studies in Finance, 7 (1(13)). pp. 77-81.

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Official URL: http://edoc.unibas.ch/44015/

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Abstract

This note presents the most commonly used definition of credit spread forwards, discusses two alternative definitions and proposes one of these three definitions as the standardized version that should be used in the future to prevent confusion. In addition, this note gives an overview on the definition of this credit derivative contract in the most relevant hand- and textbooks in banking and credit risk management that include topics on credit derivatives. It also exemplifies by means of one textbook that although being a standard textbook in banking and financial institutions management for years and read by thousands of practitioners and students, there are still books that erroneously mix definitions, which motivates the present note.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > ├ľkonometrie und Statistik (Kleiber)
UniBasel Contributors:Hertrich, Markus
Item Type:Article, refereed
Article Subtype:Research Article
Publisher: Association for Sustainable Education, Research and Science (ASERS)L
e-ISSN:2068-8393
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:16 Dec 2016 08:33
Deposited On:16 Dec 2016 08:33

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