The relationship between credit default swap spreads, bond yields, and credit rating announcements

By John C. Hull, Mirela Predescu, Alan G. White. 2004

1,152 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/23ba1b36703bea20a6bc7269ccb4ea1842a59d8c

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Citations in the corpus

A Simple Indicator of Systemic Risk (2013, neutral): “In fact, one popular approach to deriving default correlation among firms uses the correlation from equity market data as an input (Hull et al., 2004).”
Has the CDS Market Lowered the Cost of Corporate Debt (2009, background): “These possibilities, which are hard to replicate in the secondary loan or bond markets, make the CDSs’ prices a potentially important source of new information on firms.9 Consistent with this assertion, Hull, Predescu, and White (2004) find that the CDS market anticipates credit rating events.”
Are All Credit Default Swap Databases Equal (2013, neutral): “GFI data have been used by Hull, Predescu, and White (2004), Predescu (2006), Saita (2006), Nashikkar and Subrahmanyam (2007), Nashikkar, Subrahmanyam, and Mahanti (2009) among others.”
Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets (2004, positive): “For instance, Hull, Predescu, and White (2003) and Blanco, Brennan, and Marsh (2003) analyzed a large panel of U.S. and European corporate issuers and found that CDS spreads lead bond spreads during credit deterioration episodes.”
An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps (2005, neutral): “Hull, Predescu and White (2003) note that the n-year swap rate should”
Regime dependent determinants of credit default swap spreads (2008, background): “But we are dealing with an index spread so VStoxx should be a very good substitute. constraints and they are not influenced by special tax regulations (see Hull et al., 2004).”
An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006, neutral): “To examine this issue I include five dummy variables (following Hull et al., 2004 ) that can capture the impact of rating actions: DUMB6190, DUMB3160 and DUMB0130 represent a rating event occurring on future days ½t þ 61; t þ 90� , ½t þ 31; t þ 60� , ½t þ 1; t þ 30� , respectively; DUMA0110 and DUM”