Credit Spread

From Open Risk Manual

Definition

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.

Examples

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

Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with or correctly interprets the concepts covered by the FIBO ontology.

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