IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/67838.html

A Note on Credit Spread Forwards

Author

Listed:
  • Hertrich, Markus

Abstract

This paper presents the most commonly used definition of credit spread forwards, discusses two alternative definitions and proposes one of these definitions as the standardized version that should be used in the future to prevent confusion. In addition, this paper gives an overview about the definition of this credit derivative contract in the most relevant banking and credit risk hand- and textbooks that deal with credit derivatives and exemplifies by means of one textbook that although being a standard textbook for years and read by thousands of practitioners and students, there are still books that erroneously mix these alternative definitions, which motivates the present paper.

Suggested Citation

  • Hertrich, Markus, 2015. "A Note on Credit Spread Forwards," MPRA Paper 67838, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:67838
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/67838/2/MPRA_paper_67838.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. repec:wbk:wbpubs:15039 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:67838. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.