A Note on Credit Spread Forwards

  • Markus HERTRICH Department of Finance, University of Basel


This note presents the most commonly used definition of credit spread forwards, discusses two alternative definitions and proposes one of these three definitions as the standardized version that should be used in the future to prevent confusion. In addition, this note gives an overview on the definition of this credit derivative contract in the most relevant hand-and textbooks in banking and credit risk management that include topics on credit derivatives. It also exemplifies by means of one textbook that although being a standard textbook in banking and financial institutions management for years and read by thousands of practitioners and students, there are still books that erroneously mix definitions, which motivates the present note.


[1] Anson, M.J.P. et al. 2004. Credit Derivatives: Instruments, Applications, and Pricing. Hoboken (New Jersey): John Wiley & Sons.
[2] Anson, M.J.P.1999. Credit Derivatives. Hoboken (New Jersey): John Wiley & Sons.
[3] Babbel, D.F., and Fabozzi, F.J. 1999. Investment Management for Insurers. New Hope (Pennsylvania): Frank J. Fabozzi Associates.
[4] Banks, E. 2006. Synthetic and Structured Assets. Hoboken (NewJersey): John Wiley & Sons.
[5] Banks, E., Glantz, M., and Siegel, P. 2006. Credit Derivatives: Techniques to Manage Credit Risk for Financial Professionals. New York: McGraw-Hill Financial Education Series.
[6] Bruyere, R. et al. 2006. Credit Derivatives and Structured Credit: A Guide for Investors. Hoboken (NewJersey): John Wiley & Sons.
[7] Choudhry, M. et al. 2002. Capital Market Instruments: Analysis and Valuation. London: Financial Times Prentice Hall.
[8] Douglas, R. (Ed.) 2007. Credit Derivative Strategies. New York: Bloomberg Press.
[9] Fabozzi, F.J. 2007. Fixed Income Analysis. Hoboken (New Jersey): John Wiley & Sons.
[10] Fabozzi, F.J. and Choudhry, M. 2004. The Handbook of European Fixed Income Securities. Hoboken (New Jersey): John Wiley & Sons.
[11] Jorion, P. 2010. Financial Risk Manager Handbook. Hoboken (NewJersey): JohnWiley & Sons.
[12] Maginn, J.L. et al. 2007. Managing Investment Portfolios: A Dynamic Process. Hoboken (New Jersey): John Wiley & Sons.
[13] Meissner, G. 2005. Credit Derivatives: Applications, Pricing, and Risk Management. Oxford: Blackwell Publishing.
[14] Moran, T.H. (Ed.) 2001. International Political Risk Management. The International Bank for Reconstruction and Development.
[15] Petitt, B.S., Pinto, J.E., and Pirie, W.L. 2015. Fixed Income Analysis. Hoboken (New Jersey): John Wiley & Sons.
[16] Resti, A. and Sironi, A. 2007. Risk Management and Shareholders’ Value in Banking. Hoboken (NewJersey): John Wiley & Sons.
[17] Saunders, A., and Cornett, M.M. 2014. Financial Institutions Management. New York: McGraw-Hill Education.
[18] Tavakoli, J.M. 2001. Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications. Hoboken (New Jersey): John Wiley & Sons.
How to Cite
HERTRICH, Markus. A Note on Credit Spread Forwards. Journal of Advanced Studies in Finance, [S.l.], v. 7, n. 1, p. 77-81, nov. 2016. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/498>. Date accessed: 05 july 2022.
Journal of Advanced Studies in Finance


academic education, banking, credit derivative, credit spread forward, financial institutions management, hedging