Credit Spread

From Open Risk Manual


Credit Spread. In finance, a credit spread is the yield spread, or difference in yield between different securities, usually due to different Credit Quality.

The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate.


There are several measures of credit spread, including Z-spread and option-adjusted spread.


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