In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial...

This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS Indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test...

This text is for the relation between credit default swap (CDS) spreads and some chosen macro economic data in Turkish economy. Credit default swap spread as an insurance spread is the most important sign for the solvency of the debitors in that country about the securities that public sector...