Transcription of THE RELATIONSHIP BETWEEN CREDIT DEFAULT …
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THE RELATIONSHIP BETWEEN CREDIT DEFAULT …
THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS John Hull, Mirela Predescu, and Alan White* Joseph L. Rotman School of Management University of Toronto 105 St George Street Toronto, ON M5S 3E6 Canada e-mail addresses: First Draft: September 2002 This Draft: March 2003 * Joseph L. Rotman School of Management, University of Toronto. We are grateful to Moody's Investors Service for financial support and for making their historical data on company ratings available to us. We are grateful to GFI for making their data on CDS spreads available to us. We are also grateful to Jeff Bohn, Richard Cantor, Yu Du, Darrell Duffie, Jerry Fons, Louis Gagnon, Hui Hao, Lew Johnson, Roger Stein and participants at a Fields Institute seminar, meetings of the Moody's Academic Advisory Committee, a Queens University workshop, and an ICBI Risk Management conference for useful comments on earlier drafts of this paper. Matthew Merkley and Huafen (Florence) Wu provided excellent research assistance.
2 THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS Abstract A company’s credit default swap spread is the cost per annum for protection against a
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