Mayordomo, SergioPeña, Juan IgnacioRomo, JuanUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa2009-09-232009-09-232009-09https://hdl.handle.net/10016/5294This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing alternatives. Using four different databases covering the period from 2005 to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find long-run arbitrage opportunities in 26% of the cases and statistical arbitrage opportunities in 24% of the cases. During the crisis, arbitrage opportunities decrease to 8% and 19%, respectively. Arbitrage opportunities are more frequent in the case of relatively low rated bonds and bonds with a high coupon rate.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 Españastatistical arbitragecredit derivativescredit spreadscointegrationsubsamplingworking paperC12G12G14Empresaopen accesswb096303