The change in price of a bond when it experiences a change in credit rating is dependent on the modified duration of the bong and the change in spread that is associated with the ratings event.
Δ%P = – (modified duration of the bond) × (Δ spread)
The change in price of a bond when it experiences a change in credit rating is dependent on the modified duration of the bong and the change in spread that is associated with the ratings event.
Δ%P = – (modified duration of the bond) × (Δ spread)