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Donald van Deventer
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Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. Dr. van Deventer's emphasis at Kamakura Corporation is enterprise wide risk management and modern credit risk technology. The second edition of his newest book, Advanced... More
My company:
Kamakura Corporation
My blog:
Donald R. van Deventer's Kamakura Blog
My book:
Advanced Financial Risk Management, 2nd Edition 2013
  • Corporate Bond Credit Spread To Default Probability Ratios, June 5, 2014 0 comments
    Jun 6, 2014 12:28 PM | about stocks: BND, BOND, LQD

    (click to enlarge)spreadtoKDP

    The graph shows the credit spread to default probability ratio on all corporate bond trades in the U.S. market which met the following conditions:

    Maturity: 1 year or more

    Trade volume: $5 million or more

    Seniority: Senior debt

    Callability: Non-call (except for "make whole" calls)

    The credit spread is calculated by comparing the trade-weighted average yield to the matched maturity U.S. Treasury rate supplied by the U.S. Department of the Treasury to the Federal Reserve H15 statistical release. Calculations are by Kamakura Risk Information Services using data from TRACE. For more information please contact info@kamakuraco.com.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Themes: bonds Stocks: BND, BOND, LQD
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