This paper investigated the default and nondefault component of corporate bond and credit default swaps of 4 Thai firms. I found the nondefault component of bond to be negative and liquidity spread is increasing with time to maturity. For Thai firms and Thai sovereign CDS, the nondefault component mostly has positive sign and 4-year maturity has less nondefault component compared to 5-year and 7-year maturity. This suggesting that CDS overprices credit risk and has more protection buyer in 5-year and 7-year market generating more demand pressure.
DEFAULT AND NONDEFAULT COMPONENT OF BOND AND CDS IN THAILAND
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM
Last updated at Tuesday, 8 August 2017 10:35 AM