delivery option. CDS如果采取实物交割,通常有所谓的cheapest-to-deliver option. 即违约交割时, CDS 的买方可以在一定的限制下决定将何种类型的违约债券交割给卖方来换取赔付金。这种option会使 basis变高(正), 相当于期权的价格被加到 spread上。 在存在basis的情况下, CDS的定价公式不变,而risky bond的公式变为...
2013. "The cds-bond basis." In AFA 2013 San Diego Meetings Paper.Bai, Jennie, and Pierre Collin-Dufresne, 2013, The CDS-Bond basis, working paper. Available at http://ssrn.com/abstract=2024531.Bai, J. and Collin-Dufresne, P. (2013). The cds-bond basis. In AFA 2013 San Diego ...
opening up a large difference between bank CDS spreads and their cash spread equivalent; known as the CDS-bond basis. Likewise a bounce in commodity prices has seen US energy companies' basis move more positive.
CDS-bond basisuncertainty betaWe study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations of the credit default swap (CDS)-bond bases. We develop a structural mCai, Charlie X.Ye, XiaoxiaZhao, RanSocial Science Electronic Publishing...
We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk, funding risk, and liquidity risk, strongly negatively ...
The authors explore the presence of mean-reverting behavior in this difference (CDS-bond basis) in selected emerging markets, employing alternative threshold models (TAR, TAR-GARCH, and ESTAR). Their results indicate a positive relationship between the speed of adjustment and the trading frequency ...
摘要: The article reports on the drop in the credit default swap (CDS)-bond basis for investment-grade names in February 2009 for the first time since mid-October 2008.年份: 2009 收藏 引用 批量引用 报错 分享 全部来源 求助全文 EBSCO ...
CDS, Bond Basis Goes Negative For Most CDX Names.The article reports that the majority of the names referenced in the current Markit index of North American investment grade corporate credit default swaps have negative basis, according to a report by Markit.Dugan...
由于现在是negative basis,即CDS spread小于Credit spread。CDS spread较小,说明保费比较便宜,那就要买保险,即long CDS。 买保险相当于转移了信用风险(short bond),那为了平仓,就额外需要再long bond来平仓。 ---加油吧,让我们一起遇见更好的自己!添加评论 0 0 吴昊_品职助教 · 2024年08月23日 嗨,从没放...
In order to choose whether to invest in bonds or bond funds, it’s important to understand the key differences between the two, along with the benefits and risks involved. Learn more