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Market perceptions of credit risk fluctuate in a roughly systematic way over the business cycle. Fear of default is generally greatest during a recession. As a result, the markets build in the biggest credit-risk premia during downturns.
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Would credit risk premia be the spreads between high duration and low duration?
Applied Financial Macroeconomics and Investment Strategy: A Practitioner’s Guide to Tactical Asset Allocation (Global Financial Markets)
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