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Working paper

Реплицируемость и равенство премий за кредитный риск на рынках кредитных дефолтных свопов и облигаций на плавающую ставку

Андреев Н. А., Курбангалеев М. З.
The study was implemented in the framework of the Basic Research Program at the National Research University Higher School of Economics (HSE) in 2013. We study the equivalency of two hypotheses: replicability of default-free bond with a CDS and a reference defaultable bond and equality between bond credit risk premium and CDS spread. For continuous coupon arbitrage-free market we show that the hypotheses are equivalent, however for discrete coupon market we derive presence of arbitrage when both hypotheses are true. We also demonstrate that in discrete coupon market hypothesis of replicability leads to arbitrage opportunities in a more common sense than classic arbitrage definition.