Research ArticleOpen AccessGoogle Scholar indexed
Analytical Approximation for Treasury Bill Default Spreads, Profits and Losses Equations
Risk Department, NWorld Financial Services, Madrid, Spain
Risk Department, NWorld Financial Services, Madrid, Spain
Wholesale Risk Methodology Department, Santander Bank, Madrid, Spain
- 1 Risk Department, NWorld Financial Services, Madrid, Spain
- 2 Risk Department, NWorld Financial Services, Madrid, Spain
- 3 Wholesale Risk Methodology Department, Santander Bank, Madrid, Spain
Journal of Financial Risk Management·Volume 11 (2022)·Pages 727–739·Published 9 November 2022·DOI10.4236/jfrm.2022.114035
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Abstract
In this work , we introduce expressions for the default spread calculation based on an approximation of the discount factor, for the specific case of Treasur y Bills. Additionally, expressions for the profit and losses array are obtained supported by a pass-time yield correction. Some relevant limits are explored as well in order to illustrate the large range model applicability. Treasury Bills are e specially relevant within the bank ing industry since the financial institutions usually hold the largest portfolio position in them.
KeywordsRisk ModellingCredit RiskDefault SpreadTheta Effect
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