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credit-analysis

Estimate credit risk and credit spreads for fixed-income instruments using quantitative default models.

Updated May 5, 2026
Search Tags:#credit analysis#bond pricing#default probability#credit spread#duration dv01#lgfv lgfv#abs mbss
One-click install
npx skills add https://github.com/wudye/traderAssistHK --skill credit-analysis-wudye
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: credit-analysis
Source: https://github.com/wudye/traderAssistHK/tree/main/backend/src/skills/credit-analysis
Command: npx skills add https://github.com/wudye/traderAssistHK --skill credit-analysis-wudye

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill helps you quantify credit risk and price credit instruments by turning bond/issuer information into structured estimates for default risk, credit spreads, and rate sensitivity.

Core Features & Use Cases

  • Credit Rating & Default Models: Builds a practical framework using issuer vs issue rating concepts plus quantitative approaches like Altman Z-Score, Merton structural model, and KMV/EDF logic.
  • Fixed-Income Valuation & Rate Risk: Computes core metrics including YTM, duration, convexity, DV01, and key rate duration for interest-rate risk management.
  • Credit Spread & Trading Setup: Decomposes credit spread drivers (default/liquidity/tax), analyzes spread term structure behavior, and outlines spread-widening/tightening strategy patterns.
  • China-Specific Credit Analysis: Provides LGFV (城投债) multi-dimensional evaluation, policy-aware risk signals, and recovery/precedent analysis methods for default scenarios.
  • ABS/MBS and Convertible (Bond Floor) Support: Covers underlying-pool quality, tranche priority logic, early repayment modeling (CPR/SMM/PSA), and convertible bond pure-debt valuation (bond floor).

Quick Start

Ask the skill to analyze a specific bond’s credit risk, estimate its default probability and credit spread using the included models, and then compute duration/convexity and DV01 for your scenario inputs.

Frequently Asked Questions about credit-analysis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I estimate default probability for a bond using the Altman Z-Score and Merton model?▼

To estimate default probability, you can apply quantitative default models like the Altman Z-Score and Merton/KMV structural frameworks to structured financial inputs, producing actionable default risk estimates. This Skill computes these metrics directly from the provided data.

What is the best way to calculate DV01, duration, and convexity for fixed-income valuation?▼

The best way to calculate DV01, duration, and convexity is by applying YTM-based valuation and rate sensitivity computations to the bond's cash flows. This Skill computes these core metrics to support effective interest-rate risk management.

How does credit spread decomposition separate default risk from liquidity risk?▼

Credit spread decomposition separates default risk from liquidity risk by breaking down the total spread into its core drivers, including default, liquidity, and tax components. This allows for precise spread term-structure interpretation and trading strategy formulation.

Can I use this to analyze LGFV (城投债) credit risk and policy signals?▼

Yes, you can analyze LGFV (城投债) credit risk by applying multi-dimensional evaluation frameworks and policy-aware risk signals to the issuer data. This provides recovery and precedent analysis methods tailored for default scenarios specific to the Chinese market.

Does credit analysis support ABS and MBS early repayment modeling?▼

Yes, credit analysis supports ABS/MBS evaluation by modeling early repayment metrics like CPR, SMM, and PSA, alongside underlying-pool quality and tranche priority logic. This yields comprehensive structural risk assessments for asset-backed securities.

When do I need convertible bond pure-debt valuation and bond floor calculation?▼

You need convertible bond pure-debt valuation and bond floor calculation when assessing the downside protection of a convertible instrument independent of its equity conversion option. This Skill computes the bond floor to establish the underlying debt valuation baseline.

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