منابع مشابه
Interpreting movements in high-yield corporate bond market spreads
Credit spreads in the United States widened considerably during 2000, particularly in the high-yield bond market. Even indices of single-A and AA rated bonds widened in the last few months of the year. By contrast, with the exception of telecoms bonds, there was little evidence of widening in UK credit spreads. In this article we explain why US spreads widened, and assess the implications for t...
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We derive a simple formula for calculating the CDS spread implied by the bond market price. Using no-arbitrage argument, the formula expresses the bond implied CDS spread as the sum of bond price, bond coupon and Libor zero curve weighted by risky annuities. We show that the bond implied CDS spread is consistent with the standard CDS pricing model if the survival probabilities and recovery are ...
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CDS role in building-up the risk perceptions is mounting, while the similar task for the sovereign bonds seems fading away. The paper investigates if (i) the market characteristics of these instruments underpin such developments, (ii) their informational content appropriately mirrors specific risks, and (iii) changes in spreads are passed-through by banks to the debtors’ financing cost. The ana...
متن کاملCDS Spreads and Systemic Financial Risk∗
This paper investigates the information content of bond and Credit Default Swap prices of financial institutions for the measurement of systemic risk in the financial sector, defined as the probability that several institutions default. Because CDS contracts involve counterparty risk, this is reflected in their price, the spread paid to a dealer to insure against default. Then, the set of sprea...
متن کاملProductivity Spreads, Market Power Spreads and Trade
Much of recent Trade theory focuses on heterogeneity of firms and the differential impact trade policy might have on firms with different levels of productivity. A common problem is that most firm level dataset do not contain information on output prices of firms which makes it difficult to distinguish between productivity differences and differences in market power between firms. This paper de...
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4224377