To read this content please select one of the options below:

Untangling Spreads: Risk, Credit, Liquidity and All That

LEO M. TILMAN (Managing director at Bear Stearns & Co. Inc. in New York and contributing editor of The Journal of Risk Finance.)
GENE COHLER (Senior managing director at Bear Stearns & Co. Inc. in New York.)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 1 March 2001

231

Abstract

This commentary discusses issues related to the important task of separating the spreads of fixed income securities into various components, related to liquidity, credit, and the duration and convexity of cashflows. This treatment is intended to provide intuition and a general framework for thinking about spread dynamics, rather than a mathematically rigorous treatment of the topic. In addition to being an introduction for those who are unfamiliar with the fundamentals of the market dynamics of spreads, the article also serves as a commentary and reminder to those practitioners with more experience in the analysis of spreads.

Citation

TILMAN, L.M. and COHLER, G. (2001), "Untangling Spreads: Risk, Credit, Liquidity and All That", Journal of Risk Finance, Vol. 2 No. 4, pp. 53-59. https://doi.org/10.1108/eb043476

Publisher

:

MCB UP Ltd

Copyright © 2001, MCB UP Limited

Related articles