The relationship between credit default swap spreads, bond yields, and credit rating announcements：（信用违约互换(cds)利差之间的关系,债券收益率,信用评级公告）.pdfVIP

THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS * John Hull, Mirela Predescu, and Alan White Joseph L. Rotman School of Management University of Toronto 105 St George Street Toronto, ON M5S 3E6 Canada e-mail addresses: hull@rotman.utoronto.ca mirela.predescu01@rotman.utoronto.ca awhite@rotman.utoronto.ca First Draft: September 2002 This Draft: January, 2004 * Joseph L. Rotman School of Management, University of Toronto. We are grateful to Moodys Investors Service for financial support and for making their historical data on company ratings available to us. We are grateful to GFI for making their data on CDS spreads available to us. We are also grateful to Jeff Bohn, Richard Cantor, Yu Du, Darrell Duffie, Jerry Fons, Louis Gagnon, Jay Hyman, Hui Hao, Lew Johnson, Chris Mann, Roger Stein, and participants at a Fields Institute seminar, meetings of the Moodys Academic Advisory Committee, a Queens University workshop, and an ICBI Risk Management conference for useful comments on earlier drafts of this paper. Matthew Merkley and Huafen (Florence) Wu provided excellent research assistance. Needless to say, we are fully responsible for the content of the paper. THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS Abstract A company’s credit default swap spread is the cost per annum for protection against a default by the