Research and publications
The Link between Eurozone Sovereign Debt and CDS Prices
This paper performs a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. It first presents a simple model which establishes the no-arbitrage relationship between CDS and bond yield spreads. A revisited version of this paper was published in the March 2012 issue of Bankers, Markets & Investors.
Author(s):
Dominic O’Kane
Summary:
This paper performs a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. It first presents a simple model which establishes the no-arbitrage relationship between CDS and bond yield spreads. A revisited version of this paper was published in the March 2012 issue of Bankers, Markets & Investors.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 13/01/2012 |
| Keywords : |
Credit Default Swaps |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
