Arbeitspapier
Exploring the CDS-Bond Basis
Markets for credit default swaps (CDS) and bonds of the same reference entity and maturity are bound by no-arbitrage conditions. Indeed, using a large data set we show that CDS premia and par asset swap spreads are mostly cointegrated. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect fourteen different economic basis drivers, which make the basis firm-specific and time-dependent. Furthermore, we describe the basis smile, and illustrate that the average basis is the lowest for five year maturities of corporate credits denominated in euro.
- Sprache
-
Englisch
- Erschienen in
-
Series: NBB Working Paper ; No. 104
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Econometric and Statistical Methods: Other
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
International Financial Markets
General Financial Markets: Other
- Thema
-
Bond
Co integration
Credit
Risk Neutrality
Kreditderivat
Kreditversicherung
Anleihe
Risikoneutralität
Euro
US-Dollar
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Wit, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
National Bank of Belgium
- (wo)
-
Brussels
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Wit, Jan
- National Bank of Belgium
Entstanden
- 2006
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