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A Note on Credit Spread Forwards

Author

Listed:
  • Markus HERTRICH

    (Department of Finance University of Basel)

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

Suggested Citation

  • Markus HERTRICH, 2016. "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 77-81.
    • Handle: RePEc:srs:jasf00:v:7:y:2016:i:1:p:77-81
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    JEL classification:

    • A22 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Undergraduate
    • A23 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Graduate
    • A33 - General Economics and Teaching - - Multisubject Collective Works - - - Handbooks
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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