A Note on Credit Spread Forwards

9 Pages Posted: 22 Apr 2015 Last revised: 4 Feb 2016

See all articles by Markus Hertrich

Markus Hertrich

Deutsche Bundesbank; University of Basel - Center for Economic Science (WWZ) - Department of Finance

Date Written: April 20, 2015

Abstract

This paper presents the most commonly used definition of credit spread forwards, discusses two alternative definitions and proposes one of these definitions as the standardized version that should be used in the future to prevent confusion. In addition, this paper gives an overview about the definition of this credit derivative contract in the most relevant banking and credit risk hand- and textbooks that deal with credit derivatives and exemplifies by means of one textbook that although being a standard textbook for years and read by thousands of practitioners and students, there are still books that erroneously mix these alternative definitions, which motivates the present paper.

Keywords: academic education, credit derivative, credit spread forward, economic instruction, hedging, instructional material

JEL Classification: A20, G13, G21, I22, M21

Suggested Citation

Hertrich, Markus, A Note on Credit Spread Forwards (April 20, 2015). Available at SSRN: https://ssrn.com/abstract=2596878 or http://dx.doi.org/10.2139/ssrn.2596878

Markus Hertrich (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

University of Basel - Center for Economic Science (WWZ) - Department of Finance

Peter Merian-Weg 6
Basel, 4052
Switzerland

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