Monthly Archives: September 2013
Asset-Swap Spread (ASW) & Zero-volatility spread ( Z-spread)
Definition ASW The difference between the yield of a bond and the LIBOR curve, expressed in basis points. The asset-swap spread is designed to show the credit risk associated with the bond. Analysts will typically look at both the Z-spread and the asset-swap spread to see if there are discrepancies in a bond’s price. Unlike […]
Citigroup Economic Surprise Index
Posted on June 21, 2011 by Babak The Citigroup Economic Surprise Indexes are a clever concoction that measures the variations in the gap between the expectations and the real economic data. The input consists of the actual econometric data that moves foreign exchange markets – the bigger the data moves forex markets, the more significant […]
The Financial Engineer 