–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the …% of total CDS spread (on median). These premia also exhibit a strong source of commonality; a single principal component … corporate risk premia. Finally, the compensation in the event of default is approximately 14 basis points of the total CDS …

default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … unspanned by options or CDS individually. Controlling for many known factors, this strategy earns a 0.5% premium per month …

We show that existing metrics of CDS returns poorly approximate cash flow-based CDS returns. Given the complexities … involved in computing CDS returns correctly, we provide a simple closed-form approximation that bears a correlation of no less … spreads and CDS returns. In addition, it highlights the need to rely on true CDS return metrics to evaluate investment …

The Credit Default Swap (CDS) basis was significantly negative during the 2007-2009 financial crisis, which was … considered an anomaly. Using single-name CDS data, we find that the CDS basis decreases as the funding costs, credit risk premium …, and market illiquidity increase. Further, cross-sectional results show that the sensitivities of the CDS basis to funding …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility …. The informational content of historical and option implied volatilities is generally lower than that of CDS implied …

establish realized volatility as an important determinant of CDS spreadlevels and changes. Second, we examine lead …-lag relationships between CDS spreads, volatility and stock returns using a vector-autoregressive model. At the firm level stock returns … lead the othervariables. However, at the index level volatility and CDS spreads are equally important. Third,we analyze …