Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

Details Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

2009-12-23

arxiv.org/abs/0912.4614v1

Economy

Quantitative Finance

Pricing of Securities

17 pages, 5 figures

Scientific paper

In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are consistent with the survival-based valuation framework. We then show how to use these risk measures for the construction of market neutral portfolios.

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