Gonenc, Halit; Schorer, Floris; Appel, Willem P.F. - In: Journal of Financial Regulation and Compliance 15 (2007) November, pp. 450-463
Purpose – Credit default swap (CDS) spreads may not represent the accurate credit risk levels (asymmetric spread behavior) of assets with the initiation of corporate events, such as merger, spin-off or other similar events in which one entity succeeds to the obligations of another entity. The...