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A Note on Credit Spread Forwards

Hertrich, Markus (2015): A Note on Credit Spread Forwards. Forthcoming in:

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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.

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