CSRBB in proprietary and customer business Practical issues (Part 2)

Abstract

This article shows that the CSRBB spread, i.e. the credit spread according to MaRisk and EBA guidelines, plays a role in the valuation of bonds and can also be seen in the pricing and valuation of loans. This issue is important, among other things, when determining which positions are to be included in CSRBB risk management.

The article also shows that the approaches to the valuation of bonds and the pricing of loans based on market spreads are consistent with each other. It also demonstrates the consistency between the approach to credit pricing based on traditional counterparty risk assessment and the approach to credit pricing based on market spreads.