The determinants of option adjusted delta credit spreads: A comparative analysis on US, UK and the Eurozone

Hasan IftekharBecchetti LeonardoCarpentieri Andrea
CEIS Working Papers
We analyse the determinants of the variation of option adjusted credit spreads (OASs) on a unique database which enlarges the traditional scope of the analysis to more disaggregated indexes (combining industry, grade and maturity levels), new variables (v
Number: 241
Date: Sunday, October 1, 2006
Revision Date: Sunday, October 1, 2006