Yield spread: YTM risky bond–YTM benchmark government bond》》》2021年新版FRM一二级内部资料免费领取！【精华版】
i-spread:YTM risky bond–linearly interpolated YTM on benchmark government
bond z-spread: basis points added to each spot rate on a benchmark curve
CDS spread: market premium of CDS of issuer bond
Hazard Rates ：
The hazard rate (default intensity) is represented by the (constant)
parameterλand the probability of default over the next, small time interval, dt,
Collateralized Debt Obligation (CDO)：》》》想参加融跃FRM培训班点我咨询
• General term for an asset-backed security that issues securities that pay
principal and interest from a collateral pool of debt instruments.
• In order to create a CDO, the issuer packages a series of debt instruments
and splits the package into several classes of securities called tranches.
• The largest part of a CDO is typically the senior tranche, which usually
carries an AA or AAA credit rating, regardless of the quality of the underlying
assets in the pool.【资料下载】[融跃财经]FRM一级ya题-pdf版
Synthetic CDO: originator retains reference assets on balance sheet but
transfers credit risk to an SPV, which then creates the tradable synthetic CDO.
This product bets on the default of a pool of assets, not on the assets