RT Journal Article
SR Electronic
T1 Credit Gadgets
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 65
OP 72
DO 10.3905/jfi.2003.319340
VO 12
IS 4
A1 Jouahn Nam
A1 Alan L. Tucker
A1 Jason Z. Wei
YR 2003
UL https://pm-research.com/content/12/4/65.abstract
AB A credit gadget is a theoretically cost-free portfolio of pure discount securities accommodating a desired exposure to a particular region of the local credit spread surface. The local credit spread surface is a graphical representation of forward credit spread term structures and forward credit spread skews. Fixed-income investors can use the credit gadget introduced here to hedge forward credit spreads and skews, or to speculate on a particular region of the local credit spread surface while obviating exposure to other regions.