Credit-risk valuation in the sovereign CDS and bonds markets : evidence from the euro area crisis /

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. The empirical analysis is based on the theoretical equivalence relation that should hold between the CDS and bo...

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Bibliographic Details
Main Author: Arce, Oscar
Other Authors: Mayordomo, Sergio, 1982-, Peña Sánchez de Rivera, Juan Ignacio
Format: Book
Language:Spanish
Published: Madrid : CNMV, 2012
Series:Documentos de trabajo (Comisión Nacional del Mercado de Valores) no. 53
Subjects:
Online Access:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_N53_ENen.PDF