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Quantitative Finance · Glossaire

Qu'est-ce que « Sovereign spread and redenomination risk » ?

Aussi appelé : sovereign spread · redenomination risk

Definition 7.1 Markets II: Rates, FX and Credit · Chapitre 7 — European and Japanese Government Bonds

A sovereign spread is the difference between the yield of one government’s bond and that of a benchmark government of the same currency and maturity, in the euro area usually Germany. Redenomination risk is the part of a spread that pays for the possibility that a bond is repaid in a new national currency worth less than the euro.

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