Credit spread risk (also referred to as credit discount risk in German)

As part of market risk, the interest rate premium that must be granted for certain credit quality classes compared with the risk-free interest rate, e.g. for government bonds rated very highly by rating agencies (credit spread risk arises from the possibility that changes in credit spreads (credit rating deteriorations] will affect the value of financial instruments; thus credit spreads represent the credit risk premiums required by market participants for a given credit quality). – See default risk, credit risk.

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
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