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同一借款人的信用利差为何因币种而异

文章 Quant Q&A · 作者: user25844
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总结

本文探讨同一借款人发行的债券为何会因币种不同而出现信用利差差异，并以USD和CHF为例。一种回答认为，差异部分源于各币种特有的违约概率和回收率。这说明信用风险可能取决于债务和市场环境，而不是同一发行人所有债券都必须具有相同的单一利差。

另一种回答认为，问题可能涉及货币基差调整，其反映的因素可能包括不同市场间的相对流动性、信用状况，以及供需关系。这些回答较为简短，并指向其他材料，没有推导定价框架、定义具体的调整公式或提供证据。因此，本文介绍了跨币种利差差异的可能成因，但没有说明如何分离各因素的影响或计算调整值。请将其视为初步解释，而非比较不同币种债券的完整方法。

核心观点

  • 同一发行人的债券信用利差可能因币种不同而异。
  • 违约概率与回收率差异可能导致跨币种利差变化。
  • 货币基差调整可能反映相对流动性、信用状况以及供需关系。
  • 本文指出了可能的影响因素，但没有提供计算方法或量化这些因素的证据。

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固定收益多资产衍生品定价
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# credit spread ajustment considering currency


# credit spread ajustment considering currency












I would like to understand what is credit spread basis currency ajustment.

credit spread implied by a usd bond won't be the same as one implied by a chf bond, isn't it ?

Do you have any elements (litterature, explanations or argument) to help me have a real understanding about it ?

Many thanks,

## Answer by Jiem (score 1)

https://quant.stackexchange.com/a/40877

Regarding part of your question about the reason why credit spread is diffirent between USD debt and CHF debt on the same obligor. It is because the probability of default and recovery aren't the same. I have explained this by 2 examples in the below question :

https://quant.stackexchange.com/a/40876/30239

## Answer by Don Kayum (score 0)

https://quant.stackexchange.com/a/40873

I think you may be talking about the currency basis adjustment. My understanding is that this reflects both the relative liquidity and credit risk of the markets. So, in summary it represents demand and supply and credit. There is a reasonable amount of literature available on the subject.

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