I am trying to figure out how to quantify the change in price on a bond for a change in credit risk. I'm not even sure how to quantify a change in credit risk, but I'm thinking possibly something related to either the debt/equity rating of a corporate bond or a change in the credit rating. If there is a better way, please do include it in your answer.
So, my question is how to determine the price change from a change in the credit risk for a bond? Is there a way to quantify this in any remotely accurate way? If so, how?
Would simple duration/convexity do the trick?