Use Case — Credit Spread Shock¶
Portfolio: - $20m IG, spread duration 5 - $5m HY, spread duration 3
Scenario: - IG +50 bp - HY +150 bp
Calculate approximate spread P&L by bucket, then combine with a Treasury rally.
Portfolio: - $20m IG, spread duration 5 - $5m HY, spread duration 3
Scenario: - IG +50 bp - HY +150 bp
Calculate approximate spread P&L by bucket, then combine with a Treasury rally.