Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/208695 
Authors: 
Year of Publication: 
2008
Series/Report no.: 
PhD Series No. 12.2008
Publisher: 
Copenhagen Business School (CBS), Frederiksberg
Abstract: 
This Ph.D. thesis consists of three self-contained chapters, which can be read independently. The chapters are interrelated through their use of structural credit risk models and a credit derivative known as the Credit Default Swap (CDS). Chapter 1 estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of firms. Chapter 2 analyzes the use of CDS spreads in a convergence-type trading strategy known as capital structure arbitrage. Finally Chapter 3 estimates the time-series behaviour of the credit risk premium in the market for Credit Default Swaps.
Persistent Identifier of the first edition: 
ISBN: 
9788759383612
Creative Commons License: 
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Document Type: 
Doctoral Thesis

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