Strategie di trading sulla pendenza
DERIVATI CREDITIZI
In questo articolo ci proponiamo di verificare se l'inclinazione della struttura per scadenze degli spreads creditizi possa essere utilizzata come un indicatore di futuri cambiamenti nel livello degli spreads di breve e lungo termine. La recente letteratura empirica sul rischio di credito si e principalmente occupata delle determinanti economiche del livello degli spreads creditizi, utilizzando sia dati su credit default swaps (CDS) che su obbligazioni. Fra gli altri, rimandiamo ai lavori di
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