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Segmented Arbitrage: Corporate CDS-Bond Basis (Project 12)

Notebooks 📖

CDS-Bond Basis Replication: Project Tour

Pipeline Charts 📈

Chart List

Pipeline Dataframes 📊

Dataframe: SE:cds_basis_aggregated - cds_basis_aggregated
Dataframe: SE:cds_basis_non_aggregated - cds_basis_non_aggregated

Categories

Arbitrage (1)
Basis (1)
Bonds (1)
Cds (1)
Replication (1)

Tags

CRSP Treasury
Federal Reserve Yield Curve
WRDS Bond Returns
WRDS Markit

Index

By Michelacci and Ferreira

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