Research Technical Note

Spread Sensitivity Overhaul

Eugene Stern
eugene.stern@riskmetrics.com

July 10, 2006

Summary: We dene the treatment of spread shifts in the sensitivity statistics in RiskManager. This includes both
spread time series and calculated spreads. Basic spread shifts are encapsulated in Generalized Stress Tests. Along the way, we also separate our current notion of risk-free curves into three separate notions (risk-free curves, base curves, non-spread curves.

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1.1

Introduction
Credit-Related Instruments

This note describes a general treatment of spread sensitivity statistics in RiskManager. The purpose of the statistics is to give users an informative and intuitive picture of how the value of their positions changes when spreads move. This subject can be confusing because it involves a number of instruments, and also, more importantly, because it involves a number of different notions of spread. Very roughly, a spread for us will be anything that captures the default risk of an individual obligor. Spreads impact the credit-related instruments, which we can think of as instruments that can be affected by default risk of individual obligors. These instruments include: 1. Bonds. This includes generic bonds, plain vanilla bonds, amortizing bonds, and convertible and mandatory convertible bonds. We also include FRNs, because they can be dened using the generic bond framework. 2. Credit default swaps. 3. Synthetic CDOs.

1.2

Spread Risk Factors and Calculated Spreads

Credit-related instruments can be affected by a number of different notions of spreads. Here are some examples:

Explicit Spread Risk Factors 1. Credit default swap spread time series. 2. Corporate yield curves. 3. Issuer-specic yield curves. 4. Risky sovereign curves. Calculated Spreads 5. Bond spreads over a base curve calibrated from a bond price. 6. CDS spreads calibrated from a CDS price. 7. Bond or CDS spreads calculated using the CreditGrades model. Strictly speaking, items 2-4 above do not represent isolated spread data, but rather both the spread and the risk-free interest rate component tied together. However, this is not an obstacle, because we will not need to explicitly separate the spread and the risk-free rate explicitly when we calculate spread sensitivities. To begin to impose some order, it is useful to divide the various kinds of spread data we work with into two classes: 1. Risk factors that include spreads. One way to think of these is as risk factors (more precisely, risk factor time series, but we wont harp on the distinction here) that should move when the markets view of the credit quality of an obligor changes. For example, a risk factor representing the 5-year CDS spread for a particular name is clearly a spread-related risk factor. An issuer-specic yield curve is another risk factor that, intuitively, incorporates a spread. Corporate curves, risky sovereign curves, and credit indices (e.g., CDX or iTraxx) are other, slightly subtler, examples.1 2. Calculated spreads. Unlike spread risk factors, which capture the general credit quality of an obligor, a calculated spread captures the impact of an obligors credit quality on a particular note. Thus, a calculated spread is always a number (rather than a curve, as is typical for spread risk factors). There are two kinds of calculated spreads: Bond spreads. These are typically calculated from a bond price and a base discounting curve as the single number that should be added to the base curve to reproduce the price of that (particular) bond. The bond price could either be supplied by the user (in which case we speak of a calibrated spread), or computed using some pricing model (e.g., risky yield curve or Hull-White
We do not currently maintain time series of tranche spreads. If we decide to maintain tranche spread time series in the future, we should view them as correlation data, not spread data, and should not view them as spread risk factors in this context.
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bond pricing). A bond spread could also be supplied by the user directly in the application as the discount spread above the risk-free rate. To write the formula explicitly, suppose that P is the (dirty) price of the bond. Let t1 , t2 , . . . , tn be the coupon dates. We assume that the principal is paid back on tn . Let cj be the coupon payment made on tj .2 Let rj be the risk-free discount rate corresponding to time tj .3 Let f be the compounding frequency according to which the rates rj are quoted. Then the bond spread is the unique number s that makes the following equation true:
n

P =
j =1

cj 1 +

rj + s f

tj f

+N 1+

rn + s f

tn f

(1)

We can also dene a spread s in terms of continuous compounding:

n

P =
j =1

cj e(rj +s)tj + N e(rn +s)tn .

(2)

CDS spreads. Intuitively, this is the fair spread for a particular CDS on a given obligor, typically calculated from a CDS spread curve for that obligor. For example, if the CDS spread curve for GM includes a 1-year, a 3-year, and a 5-year spread, we can use that curve to calculate the fair spread for a 4-year CDS on GM. The spread can also be calibrated from a market price. In addition to being calculated based on the CDS curve, a CDS spread can be calculated using CreditGrades, and can also be supplied directly by the user. To give a formula for the spread, let t1 , t2 , . . . , tn be the payment dates of our CDS. We assume that the CDS matures on tn . Let P (tj ) be the probability that default occurs by time tj .4 Let cj be the length of the j -th payment period, expressed in terms of our particular day count convention.5 Let Dj be the discount factor to time tj , obtained off the discount curve to which we map the CDS. Let R be the recovery rate associated with the CDS. Then the fair spread s is dened as the unique solution to the equation
n

0=
j =1

Dj (1 P (tj )) cj s + (P (tj ) P (tj 1 ))

cj s (1 R) 2

c1 s

T T . (3) t1 T

We express the coupon payments this way to avoid having to make explicit any day count conventions they are incorporated in the cj . 3 See Section 2 for a discussion of which base curve this rate should come from. 4 The P (tj ) are typically obtained from a CDS spread curve for the obligor, though we will implement a way to derive them from bond spreads as well. The CDS spread curve that we use to generate the P (tj ) may also be adjusted, to match a given price for our particular CDS (calibration). 5 92 For example, if the period is 92 days long and we are using an Actual/360 day count convention, then cj = 360 . In general, cj depends on tj tj 1 and the day count convention.

T T Here, the term c1 s t that we subtract off corresponds to the accrued interest.6 Here T repre1 T

sents the analysis date, and T represents the start of the rst coupon period. We may also turn (3) into an explicit formula for s by grouping together those terms that do and do not contain a multiple of s. A key point is that the spreads we are considering here all correspond to individual obligors. Thus, the fair spread of a CDO tranche is not an example of a calculated spread that is subject to spread shifts, because it is related to many obligors, and, perhaps more importantly, to the correlation between them. Thus, we will always take a statement like shift all spreads by 10 bp, whatever else it may mean, to apply to spreads associated with individual obligors only. This is because it usually wouldnt make sense to shift all obligor spreads by 10 bp and then to shift the spread of a highly leveraged (say, equity) synthetic CDO tranche written on those obligors by the same 10 bp.

1.3

Pricing Models

Instruments and data (i.e., spread data) are linked by pricing models. Having listed both the instruments and the different forms that the data can take, we complete the picture by listing the pricing models. We break them up both by instrument and by the data that goes into them. As part of this survey, we briey explain, for each combination of instrument and pricing model, what the relevant notions of spread risk factor and calculated spread are.

1.3.1 Bond Pricing Models 1. Pricing off a risk-free base curve plus a discount spread. No associated spread risk factor. The calculated spread is just the discount spread. 2. Pricing off a risky yield curve. The yield curve is the spread risk factor. Calculated spread found by calibrating the price of the bond to the base curve plus a discount spread bond pricing model. 3. Pricing using CreditGrades. This is a Hull-White pricing model. No associated spread risk factor. Calculated spread found as above. 4. Pricing using CDS spread data. This is a Hull-White pricing model that we will implement as part of the spread overhaul. Spread risk factor is the CDS spread curve for the obligor. Calculated spread found as above.

Put another way, the fair spread is the spread that makes the clean price of the CDS equal to 0.

1.3.2 CDS Pricing Models 1. Pricing using CDS spread data. Spread risk factor is the CDS spread curve for the obligor. Calculated spread is the fair spread of the CDS. 2. Pricing using CreditGrades. No spread risk factor. Calculated spread is the fair spread derived from CreditGrades. 3. Pricing off a risky yield curve. Also known as pricing a CDS using bond data. This is a new type of pricing input that we will implement as part of the spread overhaul, again based on the Hull-White model. The yield curve is the spread risk factor. Calculated spread is the fair spread of the CDS. 4. Pricing off a risk-free yield curve plus a discount spread. Same pricing model as for a risky yield curve. No spread risk factor. The calculated spread is the fair spread of the CDS.

1.3.3 CDO Pricing Models 1. Pricing using CDS spread data. Spread risk factors are either the CDS spread curves for each individual obligor, or a CDS curve associated with the index (large pool model). No calculated spread, as remarked above. 2. Pricing using CreditGrades. No spread risk factors, and no calculated spread. The only way to move the price of such an instrument would be to shift equity prices for obligors in the collateral pool, and to pass the shift on to CreditGrades spreads for the obligors (see Section 3.4). This isnt a great treatment, but its unlikely that users will want to model CDOs this way anyway. 3. Pricing off a risky yield curve. The yield curve is the spread risk factor. No calculated spread. 4. Pricing off a risk-free yield curve and a discount spread. No spread risk factors, and no calculated spread. To move the price of such an instrument, we would have to shift all interest rates. Note that for a CDO priced with the granular model, we can mix input models (map some obligors to CDS curves, others to CreditGrades, and still others to bond data).

1.4

General Approach to Spread Shifts

Our general goal is to work out what it should mean when a user asks to shift all spreads by, say, 100 bp, and to apply the shift to a certain group of instruments.7
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The instruments to apply the shift to are selected via tagging. See Section 3.1.

The rst part of the answer, already laid out, is that the shift is meant to apply to individual obligors, or to proxies for them. Thus, a user who wants to shift spreads by 100 bp would want the shift to apply to, say, bond spreads or even swap spreads, but not to, say, CDO tranche fair spreads.8 The next part of the answer is that we could shift spread risk factors or calculated spreads. As we have seen above, many instruments have both spread risk factors and a calculated spread associated with them, and we would typically be unable to apply the shift to both simultaneously in a consistent fashion. This is because calculated spreads typically depend on spread risk factors, but not always through a direct translation of the form S S + k . Consequently, when we are dening spread sensitivity statistics, we will give users a choice of applying a shift to either spread risk factors or calculated spreads.9 A calculated spread will be available for every credit-related instrument.10 Spread risk factors will be available for many, but not all, instruments. For example, a bond priced using CreditGrades, or off a risk-free curve plus a discount spread, will not be impacted by any spread risk factors, and thus will not show any sensitivity to spread risk factor moves. Because of this, the default option for spread shifts should be to shift calculated spreads.

Risk-Free Curves

Currently, the system admits a single risk-free curve per currency. This curve, which is preset and cannot be modied by the user, is used in three distinct ways: 1. Option pricing. The curve is used to calculate discount rates for option pricing models. 2. Interpreting spreads. In other words, spreads are viewed as spreads over the risk-free curve. 3. Identifying spread risk factors. When we do spread shifts in calculating Generalized PVBP or in Generalized Stress Tests, we shift all yield curves that are not risk-free. To see that these are completely separate applications of the notion of risk-free curve, note that it would make perfect sense to view bond spreads as spreads over USD Govt, to discount at USD Swap in pricing options, and to shift neither USD Swap nor USD Govt when we apply a shift to all spread curves. Thus, we also observe that while the rst and second application require us to have a single risk-free curve for each currency, the third really doesnt.11
While this is reasonable while we are modeling synthetic CDOs only, we may want to model cash ow CDOs in the future. In that case, users may want to shock tranche spreads. 9 This will be somewhat similar to the current distinction between spread shifts and credit spread shifts in the current implementation of Generalized Stress Tests. 10 For synthetic CDOs, we will shift the calculated spreads of the underlying names and not the tranche spread. 11 In fact, because we treat on-the-run and off-the-run curves as two separate curves, we should expect to have more than one non-spread curve per currency.
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Thus, to enable a proper treatment of spreads and of options pricing, we will separate out these three notions, and will also allow users to set their own risk-free curves in each context. The three notions are: 1. Risk-free curves. Used to discount in all option pricing formulas. Can be set by the user, but defaults to the risk-free curve assigned to each currency today. 2. Base curves. Used to calculate bond spreads. That is, if a bullet bond has price P , we calculate the bond spread s by the formula (2), where the rj are taken from the base curve. Can be set by the user, but defaults to the risk-free curve assigned to each currency today. 3. Curves without credit risk. These are the yield curves which we leave alone when we apply spread shifts to spread risk factors. Multiple curves per currency are possible. Can be set by the user, but defaults to just a single curve the risk-free curve assigned to each currency today. Currently, at the position level, discount curves can be supplied for option pricing and discounting bond coupons. To complete the picture above, a risk-free curve base curve will be added for bond instruments and as a new input for the bond spread model. Lets consider the generic bond. Users will be able to specify both the discount and base curves. When both are present, the former will be treated as a risky curve so that whenever a credit risky yield curve shift is applied, the specied discount curve will then be shifted.12 If the same discount curve happens to used in option pricing, say for a CDS, it will not be shifted under a credit risky curve shift.

General Spread Shifts

In general, spread sensitivity statistics are intended to capture what happens to instrument or portfolio prices when spreads move by a controlled amount. Thus, by shifting spreads, we will mean taking spread data that gives rise to a price for an instrument, adjusting that data to move the spreads up or down, and repricing the instrument. It is worth emphasizing again that the initial state before a spread shift consists of both spread data and a price, with the two being linked by a pricing model. In many cases, the pricing model is used to derive the price from the spread data. However, in some cases, the process is reversed: we start with a price (either supplied by the user or coming from some pricing model), and then calibrate spread data that corresponds to that price according to the linking pricing model. In this case, the linking model may be completely different from the model that gave rise to the initial price. The output of a spread shift typically communicates the change in price coming from the spread shift. However, in some cases, we simply convey the new prices rather than the change.
We see that the risky curve at the position level for the generic bond acts as an override to the current global denition of risky curves.
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Until Section 3.4, we assume that CreditGrades are turned off for every instrument in the portfolio.

3.1

Generalized Stress Tests

Currently, we implement shifts in classes of risk factors in two ways: through the Generalized PVBP statistic, and through Generalized Stress Tests. This is confusing for clients, and forces us to maintain more infrastructure. Going forward, we should keep only one of these two frameworks. The advantage of Generalized PVBP is that it requires fewer steps to use: all we need to do is dene the statistic, rather than dening a Generalized Stress Test and then dening a statistic. The advantages of Generalized Stress Tests are that we can save and reuse them, that we can stress by tags, and that viewing spread (and other) shifts as stresses is probably more conceptually coherent. In our redesigned framework, we will focus on our stress testing functionality, and enhance it so that stress tests can be run right away without having to separately dene an associated statistic. This means that going forward, we can capture the main benets of Generalized PVBP, and have lots more functionality besides, with Generalized Stress Tests. In this note, we will take spread shifts to be implemented via Generalized Stress Tests. Because it is confusing to have the same functionality in two places, Generalized PVBP should be phased out over time (but existing reports that include it should continue to run).13 As discussed above, we will implement two versions of spread shifts. One is shifting spread risk factors, while the other (the default) is shifting calculated spreads. Users will have a choice of which type of spread shift they want to apply, and shifting calculated spreads will be the default. Thus, we will eliminate the current dichotomy between spread shifts and credit spread shifts, and classify everything as a spread shift. Credit spread shifts in existing Generalized Stress Tests should be interpreted as shifts in calculated spreads. Spread shifts in existing tests should be interpreted as shifts in spread risk factors. If an existing test has both, interpret it as a shift in calculated spreads (because this way we will be sure that all instruments get impacted).

3.2

Shifting Spread Risk Factors

There are two kinds of spread risk factor curves: 1. Credit-risky yield curves. As stated above, these are all the yield curves that have not been labeled as yield curves without credit risk by the user. Typically, the credit-risky yield curves will include at least the corporate curves, issuer-specic curves, and credit-risky sovereign curves.
Note that we have other statistics (e.g., Generalized Greeks) that are currently implemented in terms of Generalized PVBP. As we phase out Generalized PVBP, we should redene and extend (e.g., to spreads) those statistics in terms of Generalized Stress Tests.
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2. CDS spread curves. This includes CDS spread time series for individual names, as well as for credit indices.14 Currently used to price CDS and CDO, and could also be used to price bonds through Hull-White bond pricing. We allow shifts of spread risk factor curves in basis points (bp), but not in percent for credit risky yield curves. One reason for not allowing percentage shifts is that we may not be able to apply such a shift to the term structure in a consistent way. Another is that applying a percentage shift to a risky yield curve would apply to the risk-free component of the risk factor as well. To apply spread risk factor shifts to individual instruments, we reprice those instruments (instruments priced off of either risky yield curves or CDS spread risk factors) based on the shifted risk factors. We then display either the new price or the delta between the old price and the new price. We apply the same pricing model to calculate the old and new price; while this may seem obvious, it is worth keeping in mind in comparing with the treatment of calculated spread shifts in the next subsection.15 Note that before shifting the values of spread risk factors, we may have to adjust them to match market prices (calibration). For example, suppose that we price a bond using a risky yield curve, that we have supplied a price of P for the bond, and that we want to apply a shift of basis points. Suppose that we need to apply a parallel shift of to the yield curve to recover the original price P . Then the new price should be calculated by applying a shift of + to the yield curve, and using the bond pricing model. Another point worth noting is that when we shift a credit-risky yield curve, we shift it only for the purpose of pricing xed-income instruments. If the same curve happens to be used as a discount curve in, say, CDS or option pricing, we use the unshifted curve there. For example, say we use USD Swap as a discount curve for CDS and CDO pricing, but have classied it as a credit risky curve for spread shifts. Then, when we shift USD Swap, we use the shifted curve for discounting cash ows from bonds that use it as a discount curve, but we use the unshifted curve for discounting spread or loss payments in CDS or CDO pricing. Finally, note that this last aspect of the treatment is different from spread changes in either historical or user-dened stress tests. For example, when we shift USD Swap according to either a historical scenario or a user-dened move, we use the shifted curve in every application of USD Swap. In the example above, we would use the shifted curve both to discount both bond and CDS cash ows.

Credit index data is currently labeled as CDS data, so the inclusion of credit indices should come for free. In particular, when we analyze a bond with Hull-White pricing based on CDS spread curves, we calculate the original price using Hull-White pricing with the original CDS spread curve, and the new price using Hull-White pricing with the new CDS spread curve. While this may seem obvious, it is different from the treatment of effective duration; see Section ??.
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3.3

Shifting Calculated Spreads

Calculated spreads are either bond spreads on top of a base curve (associated with the currency) or CDS spreads. Thus, it always makes sense to shift them either in basis points or in percent.16 The way we shift calculated spreads follows the discussion of credit spread shifts in [1]. It is useful to distinguish between bond spreads and CDS spreads. The general framework for shifting bond spreads, and repricing based on the new spread, is: 1. Calculate the bond price, based on whichever model we ordinarily use to price the bond. (If the user supplies a price, we just use that.) 2. Calibrate a spread to the bond price. To do this, we plug the price into the bond math model (based on a base curve plus a spread) given by equation (2). The base curve (i.e., the collection of rj ) comes from the currency, as discussed above. 3. Shift the spread. 4. Plug the shifted spread back into (2) and calculate a new bond price. The treatment of CDS spreads is roughly similar. It is based on the idea that a CDS pricing model can be viewed as a way of going back and forth between present value (clean MTM) and fair spreads.17 More specically, the framework for shifting CDS spreads is: 1. Calculate the PV and the fair spread of the CDS. If one is already known, then use the CDS pricing model to calculate the other. 2. Shift the fair spread. 3. Use the CDS pricing model to calculate the new PV based on the new fair spread. A useful conceptual distinction to keep in mind is that for bond spreads, we apply the shift in terms of a xed pricing model (basic bond math applied to a base yield curve plus a spread), regardless of how we are
As discussed previously, well need to single out CDOs for special treatment. The problem is that shifting all spreads is typically interpreted as shifting spreads for individual obligors, not, for, say a CDO tranche, which depends on multiple obligors. Thus, if the user has specied a 50 bp shift to calculated spreads, we would want to apply a 50 bp shift to individual obligors, while the calculated spread corresponding to the instrument is a tranche spread. In this case, we will stick to applying a shift to the CDS fair spreads for the individual obligors. 17 If we have neither a PV nor a fair spread, the pricing model will calculate both. If we have a PV, we adjust the pricing model inputs (for now, this means spread curves; in the future, it could mean something like hazard rates) so that the CDS pricing model comes up with that PV, and then calculate the fair spread based on the adjusted inputs. Similarly, if we have a fair spread, we adjust the pricing model inputs so that the CDS pricing model comes up with that spread, and then calculate the PV based on the adjusted inputs.
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pricing the bond. By contrast, for CDS spreads, we apply the shift in terms of the specic model we use to price the CDS. One more difference between spread risk factors and calculated spreads is that we never connect shifts in calculated spreads to any kind of predictive stress test framework. For example, if we are interested in shifting a corporate curve or a CDS spread curve for a particular obligor, we can pass the effect of this shift on to other risk factors if we model the shift using the predictive stress testing framework rather than Generalized Stress Tests. (Shifts in spread risk factors modeled via Generalized Stress Tests are analogous to simple stress tests: we shift only the factors we have chosen, without applying any impact on other, correlated risk factors.) However, there is no analogous way to pass a shift in a calculated spread (e.g., a spread on a particular bond, or a 6-year CDS spread for some obligor) on to other risk factors.

3.4

Turning on CreditGrades

CreditGrades are related to calculated spreads, in that the CreditGrades model is one of the ways in which the calculated spread might be derived. This applies to both bond and CDS spreads. CreditGrades spreads require special treatment because they could be viewed as having either spread risk (spread shifts causing a shift in the CreditGrades spread) or equity risk (equity shifts causing a shift in the CreditGrades spread). We need to be very clear about how different risk factor shifts impact CreditGrades spreads in the application. To begin with, if users shift calculated spreads but do not shift equities in a Generalized Stress Test, then we will treat spreads calculated using CreditGrades like any other calculated spreads, and will shift them according to the discussion in Section 3.3. (If a user shifts spread risk factors but not equities, our calculation has no connection to CreditGrades at all, and xed income instruments modeled via CreditGrades will be left alone.) Next, a user who shifts equities but not spreads will be offered a choice (via a checkbox) of whether or not to apply equity shifts to CreditGrades spreads. If the user chooses to pass equity shifts on to CreditGrades spreads, then all instruments priced using the CreditGrades model will be repriced based on the new equity price. If a user does not choose to pass equity shifts on to CreditGrades spreads, then all instruments priced with CreditGrades should be left alone. Finally, we need to consider the case when the user shifts both spreads and equities. Because we are shifting equities, we again need to offer the user a choice of whether to pass equity shifts on to instruments priced using CreditGrades. If the user says no, there is no issue. If we are shifting spread risk factors, then instruments priced using CreditGrades are not affected at all. If we are shifting calculated spreads, we continue to apply the spread shift outlined in Section 3.3. In other words, the treatment for creditrelated instruments is exactly the same as it was without any equity shift. In particular, if some spreads are calculated using the CreditGrades model, the calculation of the initial spread (before the spread shift) should be calculated based on the original equity price (before the equity shift). 11

Now suppose that the user is shifting both spreads and equities, and wants to pass equity shifts on to CreditGrades spreads. If the spread shift is applied to spread risk factors, it is clear what we should do. A credit-related instrument might be priced using either spread risk factors or CreditGrades (or neither), but never both. Thus, for instruments priced using CreditGrades, we use the new equity price to reprice the instrument based on the CreditGrades model. However, if the spread shift is applied to calculated spreads, it may not be immediately clear what we should do if the user wants to pass equity shifts on to CreditGrades spreads. Should we reprice the instrument by shifting the CreditGrades spread according to the spread shift, or by shifting the equity and rerunning the CreditGrades model? To answer this, we observe that if we choose to apply the spread shift, the behavior would be exactly the same as if the user hadnt chosen to pass equity shocks on to CreditGrades instruments. Thus, the better choice in this case is to have the equity shift override the spread shift, and to reprice the instruments directly through the CreditGrades model, using the new equity price. Finally, it is probably worth mentioning in this section that the option to pass equity shifts on to CreditGrades spreads should apply to historical and user-dened stress tests as well. If the user asks to pass on equity shocks to CreditGrades spreads in stress testing, we implement this exactly as above (reprice the instruments using the CreditGrades model, taking the new equity price as an input). Note that for these stress tests, passing an equity shock to CreditGrades spreads is the only way to change the price of an instrument priced using CreditGrades, because the stress tests are dened through risk factors only, and there is no available option to shift calculated spreads directly.

3.5

Risk Type Drilldown

We should also include spread risk in the risk type drilldown for stress test statistics. This should separate out the spread component from the current IR risk component in the drilldown. The spread component of the risk should be calculated by applying any spread shift (either to spread risk factors or to calculated spreads), but not the interest rate shift. The interest rate component will be calculated by applying the interest rate shift but not the spread shift. Note that if we are shifting both interest rates and spread risk factors, then we apply two shifts to risky yield curves to calculate the total stress test PV or PV delta, and one shift for each of the interest rate and spread drilldowns.

References
[1] RiskMetrics Research Department, Generalized pvbp extension and generalized stress tests, Research Technical Note. [2] , Generic bond, Research Technical Note.

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