RT Journal Article
SR Electronic
T1 Credit Spread Arbitrage in Emerging Eurobond Markets
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 100
OP 111
DO 10.3905/jfi.2000.319277
VO 10
IS 3
A1 Caio Ibsen Rodrigues De Almeida
A1 Antonio Marcos Duarte
A1 Cristiano Augusto Coelho Fernandes
YR 2000
UL https://pm-research.com/content/10/3/100.abstract
AB In the corporate emerging Eurobond fixed-income market there are two main sources of credit risk: sovereign risk and the relative credit quality of issuers of the eurobonds. This article presents a model to estimate, in a one-step procedure, both the term structure of interest rates and the credit spread function of a diversified international portfolio of Eurobonds with different credit ratings. The estimated term structures can be used to analyze credit spread arbitrage opportunities in Eurobond markets. Numerical examples in the Argentinean, Brazilian, and Mexican Eurobond markets illustrate the practical use of the methodology.