NERA Director Timothy McKenna wrote the chapter “The Use of CDSs When Pricing Debt Guarantees” in Applying the Arm’s Length Principle to Intra Group Financial Transactions: A Reference Guide. In the chapter, Mr. McKenna discusses the use of credit default swaps to access a standardized data set of credit risk measures. By doing so, one can measure the difference in credit risk between a subsidiary and its parent. 

Order Applying the Arm’s Length Principle to Intra Group Financial Transactions: A Reference Guide from Wolters Kluwer here.