Credit Spread Curve
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28.09.2021
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
There is only one base interest rate per currency, corresponding to the bank’s unsecured lending/borrowing rate (such as LIBOR). The interest rate used to discount cashflows may include a credit spread above or below the base rate.
Further information
Further reading
https://timxiao1203.github.io/CrCreditSpread-16.pdf
Language
English
DOI
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