Adler, Michael; Song, Jeong - In: International Journal of Finance & Economics 15 (2010) 1, pp. 31-58
We test whether credit risk for Emerging Market Sovereigns is priced equally in the credit default swap (CDS) and bond markets. The parity relationship between CDS premiums and bond yield spreads (BYS), that was tested and largely confirmed in the literature, is mostly rejected. Prices below par...