Journal of Banking & Finance Vol. 28 No. 11 2004
The relationship between credit default swap spreads, bond yields, and credit rating announcements
Abstract
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 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 Moody’s are anticipated by participants in the credit default swap market.
- DOI
- 10.1016/j.jbankfin.2004.06.010
- Volume
- 28
- Issue
- 11
- Pages
- 2789-2811
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib