Credit Spread Solution

STEP 0: Pre-Calculation Summary
Formula Used
Credit Spread = Corporate Bond Yield-Treasury Bond Yield
CSP = CBY-TBY
This formula uses 3 Variables
Variables Used
Credit Spread - Credit Spread refers to the difference in yield or interest rate between two debt securities with similar maturities but differing credit qualities.
Corporate Bond Yield - Corporate Bond Yield refers to the rate of return or interest rate that investors earn from investing in a corporate bond.
Treasury Bond Yield - Treasury Bond Yield refers to the rate of return or interest rate that investors earn from investing in a government-issued treasury bond.
STEP 1: Convert Input(s) to Base Unit
Corporate Bond Yield: 2.5 --> No Conversion Required
Treasury Bond Yield: 1.96 --> No Conversion Required
STEP 2: Evaluate Formula
Substituting Input Values in Formula
CSP = CBY-TBY --> 2.5-1.96
Evaluating ... ...
CSP = 0.54
STEP 3: Convert Result to Output's Unit
0.54 --> No Conversion Required
FINAL ANSWER
0.54 <-- Credit Spread
(Calculation completed in 00.004 seconds)

Credits

Created by Kashish Arora
Satyawati College (DU), New Delhi
Kashish Arora has created this Calculator and 50+ more calculators!
Verified by Vishnu K
BMS College of Engineering (BMSCE), Bangalore
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20 Risk Management Calculators

Risk Adjusted Return on Capital
Go Risk Adjusted Return on Capital = (Revenue-Expenses-Expected Loss+Income From Capital)/Capital Cost
Sortino Ratio
Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside
Maximum Drawdown
Go Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100
Modigliani-Modigliani Measure
Go Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio
Interest Rate Risk
Go Interest Rate Risk = (Original Price-New Price)/New Price
Sterling Ratio
Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1
Risk Tolerance
Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income
Market Risk Premium
Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate
Basis Risk
Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset
Credit Value at Risk
Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss
Economic Capital
Go Economic Capital = Earnings at Risk/Required Rate of Return
Calmar Ratio
Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1
Upside/Downside Ratio
Go Upside/Downside Ratio = Advancing Issues/Declining Issues
Credit Spread
Go Credit Spread = Corporate Bond Yield-Treasury Bond Yield
Probability of Default Regression Model
Go Probability of Default = 1/(1+exp(-Linear Combination))
Default Risk Premium
Go Default Risk Premium = Interest Rate-Risk Free Rate
Pain Ratio
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Risk Determination
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Credit Spread Formula

Credit Spread = Corporate Bond Yield-Treasury Bond Yield
CSP = CBY-TBY

What is Credit Spread?

Credit spread refers to the disparity in yield, or return, between two debt instruments of the same maturity but possessing different credit ratings. It represents the difference in returns resulting from varying credit qualities. In simpler terms, credit spread measures the additional compensation investors demand for assuming higher credit risk.

How to Calculate Credit Spread?

Credit Spread calculator uses Credit Spread = Corporate Bond Yield-Treasury Bond Yield to calculate the Credit Spread, Credit Spread refers to the disparity in yield, or return, between two debt instruments of the same maturity but possessing different credit ratings. Credit Spread is denoted by CSP symbol.

How to calculate Credit Spread using this online calculator? To use this online calculator for Credit Spread, enter Corporate Bond Yield (CBY) & Treasury Bond Yield (TBY) and hit the calculate button. Here is how the Credit Spread calculation can be explained with given input values -> 0.54 = 2.5-1.96.

FAQ

What is Credit Spread?
Credit Spread refers to the disparity in yield, or return, between two debt instruments of the same maturity but possessing different credit ratings and is represented as CSP = CBY-TBY or Credit Spread = Corporate Bond Yield-Treasury Bond Yield. Corporate Bond Yield refers to the rate of return or interest rate that investors earn from investing in a corporate bond & Treasury Bond Yield refers to the rate of return or interest rate that investors earn from investing in a government-issued treasury bond.
How to calculate Credit Spread?
Credit Spread refers to the disparity in yield, or return, between two debt instruments of the same maturity but possessing different credit ratings is calculated using Credit Spread = Corporate Bond Yield-Treasury Bond Yield. To calculate Credit Spread, you need Corporate Bond Yield (CBY) & Treasury Bond Yield (TBY). With our tool, you need to enter the respective value for Corporate Bond Yield & Treasury Bond Yield and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.
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