This paper estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of rms. Using a newly developed measure of accounting transparency in Berger, Chen & Li (2006), we nd a downward-sloping term structure of transparency spreads. Estimating...

When identifying relative value opportunities across credit and equity markets, the arbitrageur faces two major problems, namely positions based on model misspeci cation and mismeasured inputs. Using credit default swap data, this paper addresses both concerns in a convergence-type trading...

This paper estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of firms. Using a newly developed measure of accounting transparency in Berger, Chen amp; Li (2006), we find a downward-sloping term structure of transparency spreads....

When identifying relative value opportunities across credit and equity markets, the arbitrageur faces two major problems, namely positions based on model misspecification and mismeasured inputs. Using credit default swap data, this paper addresses both concerns in a convergence-type trading...

This Ph.D. thesis consists of three self-contained chapters, which can be read independently. The chapters are interrelated through their use of structural credit risk models and a credit derivative known as the Credit Default Swap (CDS). Chapter 1 estimates the impact of accounting transparency...

This article addresses the limited empirical evidence on risk-shifting behavior in industrial firms, by focusing directly on asset volatilities implied from the U.S. equity market. These are inferred using the iterative algorithm of Moody's KMV and the Leland amp; Toft (1996) model. Indeed,...