The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. We show that the slope of the credit spread term structure can be used as an indicator of changes in future short-term credit spreads. This conclusion is tested by implementing a long-short trading strategy on a CDS index.
BEDENDO M, CATHCART L, EL-JAHEL L, LIESCH L (2005). Trading Down the Slope(s). RISK, 18, 107-110.
Trading Down the Slope(s)
BEDENDO M;
2005
Abstract
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. We show that the slope of the credit spread term structure can be used as an indicator of changes in future short-term credit spreads. This conclusion is tested by implementing a long-short trading strategy on a CDS index.File in questo prodotto:
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