WebMay 22, 2024 · The CDS basis is simply the difference between the spread an investor receives when owning a physical corporate bond, and the Credit Default Swap (CDS) of the same bond. In relatively stable market … WebHoussam Bouzgarrou was born in Monastir, Tunisia. He gratuated with Ph.D from IGR-IAE, University of Rennes 1, France. He is currently an Associate Professor of finance at the University of Sousse (Tunisia). He is the Director of the Higher Institute of Finance and Taxation. He was previously an Assistant Professor at Rennes 1 University (France). His …
Associate Professor - UNSW Business School - LinkedIn
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Explaining the Bond-CDS Basis – The Role of Credit Risk
WebSeveral previous studies investigate the relationship between the CDS market and the corporate bond market in the short and the long run. Al exopoulou et al. (2009) ... It was primarily a search process to find corporate bond spreads with issue date 2013 and maturity date later than D ecember 2024 in order to cover the 5 -year Weband bond spreads, and to compare this relationship over time. This will be performed through testing for a cointegration relationship and Granger causality between the CDS … WebDownloadable! Markets for credit default swaps (CDS) and bonds of the same reference entity and maturity are bound by no-arbitrage conditions. Indeed, using a large data set we show that CDS premia and par asset swap spreads are mostly cointegrated. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the … jay drunk dazed