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

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