The relationship between credit default swap spreads, bond yields, and credit rating announcements [An article from: Journal of Banking and Finance]

by J. Hull, M. Predescu, A. White

List Price:	~~$8.95~~
Amazon Price:	$8.95 & eligible for FREE Super Saver Shipping on orders over $25.
Lowest New Price:	$8.95
Availablitiy:	Available for download now

Editorial Reviews
Product Description
This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
A company's credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a credit derivatives broker. We first examine the relationship between credit default spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's are anticipated by participants in the credit default swap market.

Customers who bought this item also bought

The Credit Default Swap Basis

Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.