115.070.05.08 Fixed Income - Reading 46 - 8. Credit and Liquidity Risk
8. Credit and Liquidity Risk
l. explain how changes in credit spread and liquidity affect yield-to-maturity of a bond and how duration and convexity can be used to estimate the price effect of the changes.
A change in yield-to-maturity will cause a change in X?
What are the two components of yield-to-maturity for a corporate bond?
1. Government benchmark yield
2. A spread over government benchmark.