CREDIT GADGETS - A credit gadget is a theoretically cost-free portfolio of pure discount securities accommodating a desired exposure to a particular region of the local credit spread surface. The local credit spread surface is a graphical representation of forward credit spread term structures and forward credit spread skews. Fixed-income investors can use the credit gadget introduced here to ...
| Year of publication: |
2003
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| Authors: | Nam, Jouahn ; Tucker, Alan L. ; Wei, Jason Z. |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 12.2003, 4, p. 65-72
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