Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple …We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are … arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity …