J 2013

Relationship between bond spreads and CDS spreads

BUDINSKÝ, Petr, Herbert HEISSLER and Petr WAWROSZ

Basic information

Original name

Relationship between bond spreads and CDS spreads

Authors

BUDINSKÝ, Petr, Herbert HEISSLER and Petr WAWROSZ

Edition

Scientia et Societas, Praha, Newton College, 2013, 1801-7118

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Organization unit

University of Finance and Administration

Keywords (in Czech)

CDS, dluhopis, výnos

Keywords in English

CDS, bond, yield

Tags

Tags

Reviewed
Změněno: 30/5/2014 11:13, Šárka Kolouchová, DiS.

Abstract

V originále

The paper investigates the relationships between CDS spread and bond spread. Some theories say both indicators should have same value. We verify the theory using data of CDS spread and bond spread from the beginning of August 2008 till the end of August 2013 for Greece, Italy, Spain, Portugal, France, the Czech Republic, Poland and Slovakia, when we take Germany as the riskless country for bond spread. The results show some differences between both indicators. The paper describes and tries to explain them. Also the essence of CDS contract is introduced and the role of the contract in world financial crisis after year 2007 is briefly discussed.