  In this three-part series of papers, we argue that the conventional spread
measures are not well defined for credit-risky bonds and introduce a set of
credit term structures which correct for the biases associated with the
strippable cash flow valuation assumption. We demonstrate that the resulting
estimates are significantly more robust and remain meaningful even when applied
to deeply distressed bonds. We also suggest a new definition of credit bond
duration and convexity which remains consistent for distressed bonds and
introduce new relative value measures for individual bonds in the context of
sector or issuer credit curves, as well as for the basis between cash bonds and
credit default swaps (CDS).
