Valuation Differences Between Credit Default Swap And Corporate Bond Markets
Download Valuation Differences Between Credit Default Swap And Corporate Bond Markets full books in PDF, epub, and Kindle. Read online free Valuation Differences Between Credit Default Swap And Corporate Bond Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Valuation Differences Between Credit Default Swap and Corporate Bond Markets
Author | : Oliver Entrop |
Publisher | : |
Total Pages | : 44 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Valuation Differences Between Credit Default Swap and Corporate Bond Markets Book in PDF, Epub and Kindle
This paper quantifies and explains valuation differences between credit default swaps and corporate bonds from a sample of European investment-grade firms. Based on all information gained through the calibration of a stochastic intensity credit model to the time series of the issuer's CDS curve, we define a new corporate bond-specific measure for the valuation difference. Our results show that, on average, risk premia implied in corporate bonds exceed those in CDS markets by a much smaller extent than found in previous studies. Using panel data analysis we detect among others a cross-sectional influence of bond liquidity measures and find a significant impact of the general level of credit risk on the time series variation of the valuation difference.