A company's credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a credit derivatives broker. We first examine the relationship between credit default spreads and bond yields...

The unilateral defaultable claim valuation problems have been studied extensively, but the valuation of a bilateral contingent claim with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing contingent claims, e.g., interest rate...