BLANCO, ROBERTO; BRENNAN, SIMON; MARSH, IAN W. - In: Journal of Finance 60 (2005) 5, pp. 2255-2281
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by <link rid="b13">Duffie (1999)</link>, finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher...