136****21832022-02-06 06:52:22
Winter tells Madison that, based on recent changes in spreads, she is concerned about a perceived increase in counterparty risk in the economy and its effect on the portfolio. Madison asks Winter: “Which spread measure should we use to assess changes in counterparty risk in the economy?”这题如果回答是哪个spread好些呢
回答(1)
Essie2022-02-06 13:33:09
你好,能更好的衡量整个经济体中对手方风险的是TED spread,TED spread = libor - yield on treasury bill(期限相同),TED spread增加(减少),则贷款人认为银行间贷款违约的风险正在增加(减少)。因此,TED spread是衡量经济中的信用风险和对手方风险的指标。
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