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) |
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Revision as of 15:20, 24 August 2016
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.
