EduMarkets Credit

Credit spreads are how the market prices the risk that a borrower will not pay in full. The module covers the toolkit for analysing corporate bonds under z-spread, asset swap, G-spread, and I-spread, and builds a credit curve from CDS quotes. Pricing follows the ISDA standard, so the numbers match what dealers use. Users compare a risky bond's cashflows against a risk-free benchmark and see what the spread is paying for.

Handbook chapters

  1. What is Credit Risk?
  2. Market Participants
  3. Corporate Bonds
  4. Credit Spread Types
  5. The Capital Structure Stack
  6. Secured Debt and the Senior Stack
  7. Subordinated Debt and Corporate Hybrids
  8. Bank Capital: AT1, Tier 2, SNP
  9. Covered Bonds
  10. Callable Bonds
  11. Convertible Bonds
  12. Credit Default Swaps
  13. Hazard Rates & Survival Probabilities
  14. Portfolio & P&L Attribution

Tools and exercises

  • Yield Curve
  • Corporate Bonds
    • Fixed Rate Corporate Bonds
    • Callable Bonds
    • Floating Rate Note
  • Single-Name CDS
    • Single-Name Credit Default Swaps
  • CDS Index
    • Index Credit Default Swaps
  • Convertible Bonds
  • Portfolio
  • Exercises
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