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Exploring the CDS-Bond Basis · Study

PreprintShelves

PreprintExploring the CDS-Bond Basis

Jan De Wit2006

OA

Preprintgreen2006

Exploring the CDS-Bond Basis

84 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 84 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 2002Unit root tests in panel data: asymptotic and finite-sample properties 2008Introductory Econometrics for Finance 1987Parsimonious Modeling of Yield Curves 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps

Cited by

2010Contagion inside the credit default swaps market: The case of the GM and Ford crisis in 2005 2008Central bank misperceptions and the role of money in interest-rate rules 2010Internationalization Strategy and Performance of Small and Medium Sized Enterprises 2013The Interactions between the Credit Default Swap and the Bond Markets in Financial Turmoil 2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data 2010The credit default swap market and the settlement of large defaults 2009The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads 2009AN EMPIRICAL STUDY ON THE DECOUPLING MOVEMENTS BETWEEN CORPORATE BOND AND CDS SPREADS 1

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations84

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.1687659

openalex_workW1518155938

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