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by beifert
August 18th, 2009, 1:44 pm
Forum: Technical Forum
Topic: Credit curve from bond quotation
Replies: 4
Views: 39023

Credit curve from bond quotation

<t>Particularly right now, there is a large negative CDS-bond basis in the market, which means CDS spreads are typically lower than Z-spreads, asset swap spreads or option-adjusted spreads, in some cases by > 100bp. There are many factors which contribute to this, liquidity premia arguably being for...