Credit migration and covered interest rate parity
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DOI: 10.1016/j.jfineco.2020.06.002
Abstract: I document economically large and persistent discrepancies in the pricing of credit risk between corporate bonds denominated in different currencies. This violation of the Law-of-One-Price (LOOP) in credit risk is closely aligned with violations of… read more here.
Keywords: rate parity; covered interest; credit; rate ... See more keywords