This session explored why building issuer CDS curves from bond prices is critical for identifying relative value and hedging opportunities. We discuss how bond-implied credit spreads differ from Z-spreads, and the challenges involved in constructing consistent issuer curves from bond markets. Special consideration will be given to complexities created by callable bonds.
Agenda
- Importance of bond credit curves for relative value analysis and hedging
- Difference between Z-spread and bond implied credit spread
- Analytical and data processing challenges for building issuer credit curve
- Additional complexity with using callable bonds
- External vs internal build
Hosted by - Dmitry Pugachevsky, Director of Research, Quantifi
