The CDS - Bond Basis
Exploring the CDS-Bond Basis
... Defaulted bond Par Default No default Comparison of asset swap spreads with CDS premia requires fulfilment of one important condition: the two credit risk sensitive instruments need to have the same ...
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CDS bond basis and bond return predictability
... the CDS-bond basis for future corporate bond ...residual basis, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as ...
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CDS-Bond Basis Arbitrage: A Stabilizing Force in the Corporate Bond Market
... The CDS-bond basis, the difference between the spreads of credit default swaps and corporate bonds, is often interpreted as an indicator of ...residual basis, the part of the basis that ...
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The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis
... the CDS-bond basis may have deviated from zero during the 2007/08 financial crisis and they are all related to the fact that the negative basis trade, as pointed above, is not a perfect ...
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CDS Bond Basis Dynamic and Credit Spread Price Discovery: A Test for European Corporate and Sovereign Bond Markets
... between CDS premiums and bond spreads, with reference to both Eurozone sovereign and corporate markets, within the period ...the CDS pre- mium and the credit spread of the underlying bond, and ...
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Exploring a proxy to the CDS-Bond basis
... the basis and model risk, a portfolio of 20 equally weighted bonds from European and US issuers is ...each bond spread and corresponding CDS ...the bond spread has a wider range of values than ...
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The CDS bond basis arbitrage and the cross section of corporate bond returns
... the Basis Risk Factor versus Other New Risk Factors The table reports the estimated risk premium on bond pricing factors, based on asset pricing tests using the basis factor as a new risk factor ...
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The sovereign CDS-Bond basis: from a crisis perspective
... the basis of fears of the systemic consequences that could result from the collateralized default swaps they had been underwriting in the past few years – moral hazard was no longer the ...
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Explaining the Bond-CDS Basis: The role of credit risk and liquidity
... decreasing basis and thus with converging yield spreads and CDS ...the CDS market more strongly than the bond ...the bond and the CDS market for these can partly be explained by ...
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The impact of credit rating announcements on bond and CDS markets in Europe
... the CDS basis is used to study the mispricing between bond and CDS markets, which has not been taken into account in earlier ...of bond and CDS data for 20 European countries: ...
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An empirical study on the decoupling movements between corporate bond and CDS spreads
... corporate bond data that matches the CDS data in terms of maturity and characteristics is not an easy ...corporate bond spread is calculated on a weekly ...
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Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS
... subordinated CDS spread. This result implies that the subordinated bond spread does not price its own ...subordinated CDS spread. Anecdotal evidence suggests that the main players in CDS ...
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An empirical analysis of sovereign CDS - Bond relation before and during financial crisis
... The basis measure showed a potential opportunity for arbitrage through constant positive basis although seldom ...positive basis was undetermined ...showed basis changes to be mainly due to ...
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Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
... Europe CDS index The creation of the iTraxx CDS index in mid-2004 made an important contribution to the development of the CDS ...the CDS market, where banks had previously been the main ...
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Cross-Market Liquidity Shocks: Evidence. from the CDS, Corporate Bond, and Equity. Markets
... the CDS market, with a mean of 58% and 48%, ...monthly basis to have a more direct comparison to the Bao et ...a bond must trade on at least 50% business days during its existence in our sample, ...
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The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries
... the CDS market was rather small and lack of liquidity before 2008 and the concerns about the sovereign debt turbulence precisely raised after the collapse of Lehmon Brothers in ...sovereign bond and ...
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The Equilibrium Relationship and the Price Discovery Process of European Corporate CDS and Bond Spreads: Evidence from 2007 – 2013
... swap, bond and swap rate data, its descriptive statistics and an analysis of the CDS basis over different time ...appropriate CDS and bond data is found from the Thomson ...
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Bond and CDS Pricing with Credit Events
... A large number of new fixed-income instruments have been developed and introduced into the financial market including put bonds, zero-coupon convertibles, interest rate futures, options, and credit default swaps, and so ...
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CDS and the Liquidity Provision in the Bond Market
... that bond investors are segmented by regulation – ...of CDS to be concentrated among investment grade ...with CDS contracts information over the 2001-2009 ...of CDS reduces yield spreads and ...
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Credit and Liquidity Risk in Bond and CDS Markets
... change, bond and CDS liquidity premia exhibit a consistently negative coefficient, suggesting that the liquidity premia are mean-reverting and on average ...the bond market liquidity is not affected ...
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