Credit spread risk

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.

See also

• Credit risk
• Credit spread
• Credit spread risk in the banking book (CSRBB)
• G+
• Interest Rate Risk in the Banking Book (IRRBB)
• Issuer
• Risk-free rate of return
• Security
• Yield