Test of the relationship between five-year CDS spreads and five-year bond yields using the assumption that the risk-free rate is i) the Treasury rate, rT, and ii) the swap rate, rS. The CDS spread and all rates are measured in percentage points
Test of the relationship between five-year CDS spreads and five-year bond yields using the assumption that the risk-free rate is i) the Treasury rate, rT, and ii) the swap rate, rS. The CDS spread and all rates are measured in percentage points