Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Credit Default Swap (CDS)"
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The consistency of credit risk pricing in emerging market sovereign debt: the relationship between Bond prices and credit default swap spreads
(Strathmore University, 2017)Theoretical foundations indicate that, under no-arbitrage conditions, a relationship between bond prices and Credit Default Swap prices should be observed. This study examines whether this relationship is evident in emerging ...