Credit spread risk: Difference between revisions
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imported>Doug Williamson (Create the page. Source: EBA https://www.eba.europa.eu/documents/10180/1084098/EBA-GL-2015-08+GL+on+the+management+of+interest+rate+risk+.pdf) |
imported>Doug Williamson (l) |
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* [[G+]] | * [[G+]] | ||
* [[IRRBB]] | * [[IRRBB]] | ||
* [[Risk free rate of return]] | * [[Risk-free rate of return]] | ||
* [[Yield]] | * [[Yield]] | ||
Revision as of 21:09, 5 February 2018
1.
Any risk of adverse effects resulting from a change in credit spreads.
2.
The risk of losses in the value of securities, resulting from a worsening of the credit risk of the issuer.
