Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026
the CDS-Bond basis, defined as the difference in basis points (bps) between CDS and the reference entity bond spread …. Understanding the drivers behind CDS-Bond basis behavior enables more informed decisionmaking that reflects underlying credit market … dynamics. This working paper analyzes the CDSBond basis in the European market, focusing on the constituents of the Markit …