This study investigates the ability of the CreditGrades model to estimate Credit Default Swap (CDS) spreads by comparing the difference between model and market spreads using a number of volatility inputs. We then develop a convergence style capital structure arbitrage trading strategy and test...

We analyse the determinants of Australian corporate credit default swap (CDS) spreads. In addition to structural determinants, consisting of equity returns, equity volatility and risk-free interest rates, we show that CDS spreads are impacted by the uncertainty of asset values as proxied by the...

We examine the information content of Australian credit rating announcements by measuring the abnormal changes in credit default swap (CDS) spreads. CDS spreads provide a direct view of credit quality and thus should impound information quickly when investors receive new credit risk-related...