• 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