Trading strategies with implied forward credit default swap spreads

Article English OPEN
Leccadito, A; Tunaru, RS; Urga, G.;
(2015)

Credit default risk for an obligor can be hedged with either a credit de fault swap (CDS) or a constant maturity credit default swap (CMCDS). We find strong evidence of persistent differences in the hedging cost associated with the two comparable contracts. Between 2001... View more
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