Research and publications
Force-fitting CDS Spreads to CDS Index Swaps
Issues of contemporaneity, liquidity, different restructuring clauses and market supply and demand, all contribute to the fact that the market quoted term structure of CDS index spreads does not always agree with the term structure of CDS index spreads implied by the CDS term structures of the constituent credits. A revisited version of this paper was published in the Spring 2011 issue of the Journal of Derivatives.
Author(s):
Dominic O’Kane
Summary:
Issues of contemporaneity, liquidity, different restructuring clauses and market supply and demand, all contribute to the fact that the market quoted term structure of CDS index spreads does not always agree with the term structure of CDS index spreads implied by the CDS term structures of the constituent credits. A revisited version of this paper was published in the Spring 2011 issue of the Journal of Derivatives.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 04/07/2011 |
| Keywords : |
Derivatives |
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