Rating-based CDS curves
用Nelson-Siegel模型为每个评级等级构建CDS曲线，发现个体CDS偏离会随时间缩小并向曲线收敛，利用这种收敛的交易策略可获得3.7%（5天持有期）和9%（20天持有期）的平均回报。
This paper explores the extent to which term structure of individual credit default swap (CDS) spreads can be explained by the firm's rating. Using the Nelson–Siegel model, we construct, for each day, CDS curves from a cross-section of CDS spreads for each rating class. We find that individual CDS deviations from the curve tend to diminish over time and CDS spreads converge towards the fitted curves. The likelihood of convergence increases with the absolute size of the deviation. The convergence is especially stable if CDS spreads are lower relative to the rating-based curve. Trading strategies exploiting the convergence generate an average return of 3.7% (5-day holding period) and 9% (20-day holding period).