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pyt · 2021年10月23日

spread duration and credit risk

Does lower spread duration means higher credit risk? Can you explain it further?


Thank you

1 个答案

pzqa015 · 2021年10月24日

嗨,努力学习的PZer你好:


HYB has a lower spread duration. But in my opinion it does mean lower spread duration means higher credit risk. I think lower credit rating is a sufficient condition of lower spread duration.

You knwon lower spread duration means the price is not sensitive to the spread change, this is a phenomenon that often occurs on a low credit rating bond.

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努力的时光都是限量版,加油!

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