The determinants of corporate credit spreads

Estimating credit spreads is an essential component in marking-to-market a financial institution's fixed-income investment portfolio. Credit spreads can be estimated using either bond prices, as in Campbell & Taksler (2003), Collin-Dufresne, Goldstein & Martin (2001) and Elton et al (2001), or using credit default swap (CDS) spreads, as in Longstaff, Mithal & Neis (2005) and Ericsson, Jacobs & Oviedo (2007). Of the two estimation procedures, the CDS-based estimates may be preferred because of

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...


You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: