The relationship between credit default swap spreads, bond yields, and credit rating announcements

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• 作者：Hull ; John ; Predescu ; Mirela ; White ; Alan
• 关键词：G13 ; G14 ; Credit default swaps ; Credit risk ; Bonds ; Credit ratings
• 刊名：Journal of Banking and Finance
• 出版年：2004
• 出版时间：November, 2004
• 年：2004
• 卷：28
• 期：11
• 页码：2789-2811
• 全文大小：285 K

文摘

A companyaaas 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 and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moodyaaas are anticipated by participants in the credit default swap market.