An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
By: by Roberto Blanco, Simon Brennan and Ian W Marsh.
Contributors: Brennan, Simon.; Marsh, Ian W.; Bank of England.
Series: Working paper,; no. 211; Working paper (Bank of England : Online) ;; no.211.
Publisher: Bank of England
Published: 2004
Place of publication: London
Language: eng
Format: Electronic resource
Subjects: Swaps (Finance); Bonds.
Description: "In this paper the behaviour of credit default swaps (CDS) are analysed for a sample of firms and support found for the theoretical equivalence of CDS prices and credit spreads. When this is violated, the CDS price can be viewed as an upper bound on the price of credit risk, while the spread provides a lower bound. It is shown that the CDS market is the main forum for credit risk price discovery and that CDS prices are better integrated with firm-specific variables in the short run. Both markets equally reflect these factors in the long run, and this is primarily brought about by bond market adjustment"--Bank of England web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 4/13/2005.
Also available in print.
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Mode of access: World Wide Web.