English, Article, Journal or magazine article edition: Exploring the CDS-Bond Basis Jan De Wit

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Bookmark: http://trove.nla.gov.au/version/18055
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Exploring the CDS-Bond Basis
Author
  • Jan De Wit
Physical Description
  • preprint
Notes
  • 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.
  • Bond, Co integration, Credit, Risk Neutrality
  • RePEc:nbb:reswpp:200611-16
Language
  • English
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