PT  - JOURNAL ARTICLE
AU  - Caio Ibsen Rodrigues De Almeida
AU  - Antonio Marcos Duarte
AU  - Cristiano Augusto Coelho Fernandes
TI  - Credit Spread Arbitrage in Emerging Eurobond Markets
AID  - 10.3905/jfi.2000.319277
DP  - 2000 Dec 31
TA  - The Journal of Fixed Income
PG  - 100--111
VI  - 10
IP  - 3
4099  - https://pm-research.com/content/10/3/100.short
4100  - https://pm-research.com/content/10/3/100.full
AB  - In the corporate emerging Eurobond fixed-income market there are two main sources of credit risk: sovereign risk and the relative credit quality of issuers of the eurobonds. This article presents a model to estimate, in a one-step procedure, both the term structure of interest rates and the credit spread function of a diversified international portfolio of Eurobonds with different credit ratings. The estimated term structures can be used to analyze credit spread arbitrage opportunities in Eurobond markets. Numerical examples in the Argentinean, Brazilian, and Mexican Eurobond markets illustrate the practical use of the methodology.