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When identifying relative value opportunities across credit and equity markets, the arbitrageur faces two major problems, namely positions based on model misspeci cation and mismeasured inputs. Using… (More)
This paper estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of rms. Using a newly developed measure of accounting transparency in Berger,… (More)
This paper estimates the time-series behavior of credit risk premia in the market for Credit Default Swaps for the period 2001 to 2006. A structural model is used to back out objective default… (More)