CREDIT DERIVATIVES Trading down the slopes - The authors show that the slope of the credit spread term structure can be used as an indicator of changes in future short-term credit spreads. This conclusion is tested by implementing a long short trading strategy on a CDS index.
| Year of publication: |
2005
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|---|---|
| Authors: | Bedendo, Mascia ; Cathcart, Lara ; El-Jahel, Lina ; Liesch, Lorenzo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 11, p. 107-110
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