FinPricing Credit Spread Curve Data API - USA, Europe, Canada

There is only one base interest rate per currency, corresponding to the bank’s unsecured lending/borrowing rate (such as LIBOR). The interest rate used to discount cashflows may include a credit spread above or below the base rate. The risk-free discount factor is exp (-rT) where r is the interest rate and T is the maturity. The risky discount factor is exp[-(r+s)T] where s is the credit spread. Credit spread can be derived by either structural model or reduced-form (intensity) model. The structural approach regards default as an endogenous event by focusing on the capital structure of the firm. Whereas the reduced-form approach does not explain the event of default endogenously, but characterizes it exogenously by a jump process. Structural models are derived from theory and often contain some unobservable assumptions, while reduced-form models use only market observable information. Therefore, many practitioners in the credit trading arena have tended to gravitate toward the reduced-from models given their mathematical tractability and market compatibility. Many researchers group similar credits. These groupings are loosely referred to as rating categories. Regardless of how the rating categories are constructed and of how many categories there are, it is necessary to specify the default likelihood for each category and provide a credit spread to correspond to each category. FinPricing offer forward credit spread curves for various sectors and ratings. These curves are derived/bootstrapped through a compilation of market prices of credit-bearing instruments provided by major dealers. We review the contributed information on a daily basis to ensure accuracy and consistency.

搜集汇总

背景与挑战

背景概述

该数据集提供基于市场交易数据构建的美欧加地区多行业/评级远期信用利差曲线，采用简化模型计算信用利差，并通过每日校验经销商报价确保数据准确性。核心包含风险/非风险贴现因子计算及信用评级分类的利差对应关系。