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slides?","Question",{"text":63,"@type":64},"The slides highlight yield-curve uncertainty, OTC counterparty risk, credit risk across multiple instruments, liquidity risk often tied to credit events, and optionalities such as callable/puttable features.","Answer",{"name":66,"@type":61,"acceptedAnswer":67},"How does the presentation measure risk for fixed income and credit markets?",{"text":68,"@type":64},"It emphasizes term spreads, volatility using swaption implied vol, and credit/liquidity spreads such as LIBOR-Treasury, LIBOR-OIS, swap-Treasury, and credit spread/CDS-related measures.",{"name":70,"@type":61,"acceptedAnswer":71},"Which approaches are used to model credit default in the lecture?",{"text":72,"@type":64},"Default is modeled using both structural and reduced-form approaches, and the lecture links default rates to credit spread 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Spring 2021, SAIF  \nJun Pan  \nShanghai Advanced Institute of Finance (SAIF)  \nShanghai Jiao Tong University  \nMay 29-30, 2021  \n Financial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 1 / 31  \nOutline  \n Corporate Bonds:  \n▶ Default Intensity.  \n▶ Loss Given Default.  \n Modeling Default:  \n▶ Structural Approach.  \n▶ Reduced-Form Approach .  \n Credit Default Swaps.  \n Financial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 2 / 31  \nFixed Income  \n Key Risk Factors  \n▶ Yield curve uncertainties: Level, Slope, and interest rate Volatility.  \n▶ Counterparty risk in OTC derivatives.  \n▶ Credit risk in corporate bonds, CDS, bank loans, mortgages, muni’s, commercial paper, CDO/CLO.  \n▶ Liquidity risk, often coupled with credit events.  \n▶ Optionalities: callable and puttable bonds, prepayment in MBS, etc.  \n Measures of Risk:  \n▶ Term Spreads: long-term yield minus short-term yield.  \n▶ Volatility: swaption implied vol.  \n▶ Credit/Liquidity Spreads: LIBOR-Treasury, LIBOR-OIS, Swap-Treasury, Old Bond/New Bond, Corp Spread, CDS, etc.  \n Financial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 3 / 31  \nOutstanding US Bond Market Debt (USD Billions)  \nFinancial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 4 / 31  \nAverage Daily Trading Volume (USD Billions)  \nFinancial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 5 / 31  \nCredit Spreads  \nFinancial Markets, Spring 2021, SAIF Class 4: Corporate Bonds and Credit Pricing  \nJun  \nPan  \n6 / 31  \nOne-Year Default Rates  \nFinancial Markets, Spring 2021, SAIF Class 4: Corporate Bonds and Credit Pricing  \nJun  \nPan  \n7 / 31  \nCredit Spreads and Default Rates  \nFinancial Markets, Spring 2021, SAIF Class 4: Corporate Bonds and Credit Pricing  \nJun  \nPan  \n8 / 31  \nDefaults in 2008, by Industry Distribution  \nLehman was the largest default in history: $120 .2B.  \n 84 of the 101 defaulters were in North American with 74 in the US.  \n North American defaulted debt volumes: $226 .2B.  \n Financial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 9 / 31  \n Defaults in 2008 by Financial Institutions   \nFinancial Markets, Spring 2021, SAIF  Class 4: Corporate Bonds and Credit Pricing  Jun Pan 10 / 31","cbCaisVlIk1m9B97","https://ap.wps.com/l/cbCaisVlIk1m9B97","pdf",4085716,31,"English","# Outline\n## Corporate Bonds\n## Modeling Default\n## Credit Default Swaps\n# Fixed Income\n## Key Risk Factors\n## Measures of Risk\n# Market Background and Metrics\n## Outstanding US Bond Market Debt\n## Trading Volume\n## Credit Spreads\n## Default Rates\n## Credit Spreads and Default Rates\n# Historical Defaults\n## Defaults in 2008 by Industry Distribution\n## Defaults in 2008 by Financial Institutions","[{\"question\":\"What major risks affect corporate bond pricing discussed in the slides?\",\"answer\":\"The slides highlight yield-curve uncertainty, OTC counterparty risk, credit risk across multiple instruments, liquidity risk often tied to credit events, and optionalities such as callable/puttable features.\"},{\"question\":\"How does the presentation measure risk for fixed income and credit markets?\",\"answer\":\"It emphasizes term spreads, volatility using swaption implied vol, and credit/liquidity spreads such as LIBOR-Treasury, LIBOR-OIS, swap-Treasury, and credit spread/CDS-related measures.\"},{\"question\":\"Which approaches are used to model credit default in the lecture?\",\"answer\":\"Default is modeled using both structural and reduced-form approaches, and the lecture links default rates to credit spread behavior.\"}]","Class 4 - Corporate Bonds and Credit Pricing | PDF",78]