- Because credit spreads equal the product of the LGD and the POD, distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward.
- Given that frequent issuers with many bonds outstanding across maturities have their own issuer-specific credit curve, distinguishing between the credit spread and liquidity spread of all bonds for these issuers is straightforward.
老师,是不是以上2个区别都不是很明显?理由是什么?是市场环境恶化的时候,这两个风险之间的correlation会增加?