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Factors Affecting the Spread Volatility of a Corporate Bond
  • Credit Cycle
     
  • Broader Economic Conditions
     
  • Financial Market Performance
     
  • Willingness of Broker-Dealers to provide sufficient capital for market making
     
  • General Market Demand and Supply

Expected Loss = Default Probability * Loss Severity given Default
Loss Severity = 1 – Recovery Rate

 





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