Investigation into the Determinants of Cross-Sectional Variation in the CDS-Bond Basis
This paper examines the CDS-Bond basis on S&P 100 reference entities in the period 2009-14. Specifically, this paper seeks to explain the cross-sectional variation in basis levels displayed by these entities. With few exceptions, prior work focuses on the aggregated basis level and what might ca...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27306/ |