Credit Spread Calculator

✖Corporate Bond Yield refers to the rate of return or interest rate that investors earn from investing in a corporate bond.ⓘ Corporate Bond Yield [CBY]			+10% -10%
✖Treasury Bond Yield refers to the rate of return or interest rate that investors earn from investing in a government-issued treasury bond.ⓘ Treasury Bond Yield [TBY]			+10% -10%

✖Credit Spread refers to the difference in yield or interest rate between two debt securities with similar maturities but differing credit qualities.ⓘ Credit Spread [CS_P]

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Formula

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Credit Spread

Formula

`"CS"_{"P"} = "CBY"-"TBY"`

Example

`"0.54"="2.5"-"1.96"`

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Credit Spread Solution

STEP 0: Pre-Calculation Summary

Formula Used

Credit Spread = Corporate Bond Yield-Treasury Bond Yield
CS_P = 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

CS_P = CBY-TBY --> 2.5-1.96

Evaluating ... ...

CS_P = 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)

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Created by Kashish Arora

Satyawati College (DU), New Delhi

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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

Go Pain Ratio = Effective Return/Pain Index

Risk Exposure

Go Risk Exposure = Risk Impact*Probability

Risk Determination

Go Risk = Risk Impact*Likelihood

Loss Given Default

Go Loss Given Default = 1-Recovery Rate

Credit Spread Formula

Credit Spread = Corporate Bond Yield-Treasury Bond Yield
CS_P = 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 CS_P 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 CS_P = 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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