3 papers
q-fin.PR2009
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Arthur M. Berd, Roy Mashal, Peili Wang
In the third part of this series we introduce consistent relative value measures for CDS-Bond basis trades using the bond-implied CDS term structure derived from fitted survival ra…
q-fin.PR2009
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Arthur M. Berd, Roy Mashal, Peili Wang
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distre…
q-fin.PR2009
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Arthur M. Berd, Roy Mashal, Peili Wang
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which…