- 1 Introduction
- 2 Credit Spread Methodology
- 2.1 Calculation of the Spreads
- 2.2 Different Forms of the Credit Spread
- 2.3 Information Captured in the Swap Spread
- 3 Review of the Literature.
- 3.1 Evidence in Theoretical Models
- 3.2 Empirical Studies
- 4 Empirical Analysis
- 4.1 Motivation
- 4.2 Data and Methodology
- 4.3 Empirical Results
- 4.4 Discussion
- 5 Summary and Conclusions
- References
- Appendix
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