...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International journal of finance & economics >THE BEHAVIOR OF EMERGING MARKET SOVEREIGNS' CREDIT DEFAULT SWAP PREMIUMS AND BOND YIELD SPREADS
【24h】

THE BEHAVIOR OF EMERGING MARKET SOVEREIGNS' CREDIT DEFAULT SWAP PREMIUMS AND BOND YIELD SPREADS

机译：新兴市场国家主权信用违约掉期溢价和债券收益率的行为

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

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 bond yield spreads (BYS), that was tested and largely confirmed in the literature, is mostly rejected. Prices below par can result in positive basis, i.e. CDS premiums that are greater than BYS and vice versa. To adjust for the non-par price, we construct the BYS implied by the term structure of CDS premiums for various maturities. We are able to restore the parity relation and confirm the equivalence of credit risk pricing in the CDS and bond markets for many countries that have bonds with non-par prices and time varying credit quality. We detect non-parity even after the adjustment mainly in countries in Latin America, where the bases are larger than the bid-ask spreads in the market. We also find that the repo rates of bonds decrease around episodes of credit quality deterioration, which helps the basis remain positive.
机译：我们测试了新兴市场主权国家的信用风险在信用违约掉期（CDS）和债券市场中的价格是否相等。 CDS溢价与债券收益率利差（BYS）之间的平价关系已被测试并在文献中得到了充分证实，但大多数人都拒绝了。低于面值的价格可能会产生正数基础，即CDS溢价大于BYS，反之亦然。为了调整非面值价格，我们构建了各种到期CDS溢价的期限结构所隐含的BYS。我们能够恢复平价关系，并确认CDS和债券市场中信用风险定价的等效性，因为许多国家的债券具有非标价和随时间变化的信用质量。即使在调整之后，我们仍会发现非平价，主要是在基数大于市场买卖差价的拉丁美洲国家。我们还发现，债券的回购利率在信贷质量恶化期间下降，这有助于基础保持正数。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号