Yield Spreads & the Z-Spread: Pricing Credit Risk over Treasuries
This lesson is part of the course
In this lesson
You measure six fictional bonds' spreads over Treasuries in basis points, average the BBB names and price Halvard Industries' 3-year bond with a Z-spread on top of the spot curve.
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Lessons in this course
- Yield Spreads & the Z-Spread: Pricing Credit Risk over Treasuries Locked
- The Credit Triangle: Spread ≈ PD × LGD Locked
- Hazard Rates: Survival and Cumulative Default Probabilities with EXP Locked
- The CDS Premium Leg: Quarterly Payments × Survival × Discount Locked
- The CDS Protection Leg: Expected Default Payments in Present Value Locked
- The Fair CDS Spread: Protection PV / Risky Annuity, and the Upfront Locked
- Mark-to-Market of an Existing CDS When Spreads Move Locked
- The CDS-Bond Basis: When CDS and Bond Spreads Disagree Locked