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Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis

In the third part of this series we introduce consistent relative value measures for CDS-Bond basis trades using the bond-implied CDS term structure derived from fitted survival rate curves. We explain why this measure is better than the traditionally used Z-spread or Libor OAS and offer simplified hedging and trading strategies which take advantage of the relative value across the entire range of maturities of cash and synthetic credit markets.
Year of publication:
2009-12
Authors: Berd, Arthur M. ; Mashal, Roy ; Wang, Peili
Institutions: arXiv.org
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Extent:
application/pdf
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Type of publication: Book / Working Paper
Language: English
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Persistent link: https://www.econbiz.de/10008502712
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