Does lower spread duration means higher credit risk? Can you explain it further?
Thank you
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.
----------------------------------------------努力的时光都是限量版,加油!