Credit spread risk: Difference between revisions
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imported>Doug Williamson (Mend link.) |
imported>Doug Williamson (Mend links.) |
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* [[Credit risk]] | * [[Credit risk]] | ||
* [[Credit spread]] | * [[Credit spread]] | ||
* [[ | * [[Credit spread risk]] | ||
* [[Credit spread risk in the banking book]] (CSRBB) | |||
* [[G+]] | * [[G+]] | ||
* [[Interest Rate Risk in the Banking Book]] (IRRBB) | * [[Interest Rate Risk in the Banking Book]] (IRRBB) | ||
Revision as of 12:55, 24 June 2022
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.
