We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …

This paper compares the pricing of credit risk in the bond market and the fast-growing credit
default swap (CDS) market. The cointegration test confirms that the theoretical parity …

Credit default swaps (CDSs) are term insurance contracts written on traded bonds. This
review studies the economics of CDSs using the economics of insurance literature as a …

This paper uses an HJM model to price TIPS and related derivative securities. First, using
the market prices of TIPS and ordinary US Treasury securities, both the real and nominal …

We examine whether mandating banks to issue subordinated debt would enhance market
monitoring and control risk taking. To evaluate whether subordinated debt enhances risk …

Using the reduced form framework with inter-dependent default correlation, we perform
valuation of credit default swap with counterparty risk. The inter-dependent default risk …

This paper estimates the price for restructuring risk in the US corporate bond market during
1999–2005. Comparing quotes from default swap (CDS) contracts with a restructuring event …

This article explores the expectations of the credit market by developing a parsimonious
default swap model, which is versatile enough to disentangle default probability from the …

In this article, the authors propose a new method to estimate the components of corporate
bond and CDS spreads. They develop a CDS pricing model with default and nondefault …

We test whether credit risk for Emerging Market Sovereigns is priced equally in the credit
default swap (CDS) and bond markets. The parity relationship between CDS premiums and …