smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2022SMQ / 190172730350484
The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
Richard J. Martin
credit risk / fixed incomeResource overview

The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return

Paper2022

by Richard J. Martin

Tags
credit riskfixed income

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for rates and fixed income and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models Explore Counterparty Credit Risk and CVA

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Richard J. Martin

4