This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default … visibly during the turbulence on the credit markets in early 2005 in favour of that of the bond market. …

means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity …

depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for … risk significantly influence credit spread changes. The effect of these factors strongly depends on bond characteristics …

We explore the relationship between CDS premia and bond asset swap spreads on the same reference entity. As Duffie … (1999) shows, there is a clear theoretical link between CDS premia and bond prices if the two quantities are viewed as a … pure measure of credit risk. However, many studies provide evidence that factors other than credit risk seem to affect bond …

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …