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A Note on Credit Spread Forwards

Author

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  • 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
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    File URL: https://mpra.ub.uni-muenchen.de/67838/2/MPRA_paper_67838.pdf
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    References listed on IDEAS

    as
    1. Theodore H. Moran, 2004. "International Political Risk Management : The Brave New World," World Bank Publications, The World Bank, number 15039.
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    More about this item

    Keywords

    credit derivative; credit spread forward; credit spread swap; hedging; textbook;

    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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