MBS Risks and SS14

Spread Risk, Interest Rate Risk, Prepayment Risk, Volatility Risk, Model Risk

Is the spread risk a credit risk, or else?



What is the difference between the spread risk(in MBS) and the credit spread risk?

They look so damn similar to me.

Credit risk has two different aspects: downgrade risk and default risk. Downgrade risk measure is spread. So spread risk is can be considered as credit risk. Spread risk by itself can happen because of other economic reasons like recession.