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
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Number: 241
Date: Sunday, October 1, 2006
Revision Date: Sunday, October 1, 2006