The relationship between credit default swap spreads , bond yields , and credit rating announcements

@inproceedings{Hull2002TheRB,
  title={The relationship between credit default swap spreads , bond yields , and credit rating announcements},
  author={John C. Hull and Mirela Predescu and Alan White},
  year={2002}
}
A company s credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a credit derivatives broker. We first examine the relationship between credit default spreads and bond yields and reach conclusions on the benchmark risk-free rate used by… CONTINUE READING