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Credit Default Swaps: A Primer and Some Recent Trends
Annual Review of Financial Economics, 2020The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts, the pricing formula used to interpret the market premiums, the development in trading volumes, and some key insights that are important for understanding ...
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Carbon emission and credit default swaps
Finance Research Letters, 2022Zehua Zhang, Ran Zhao
semanticscholar +1 more source
Explaining Aggregate Credit Default Swap Spreads
SSRN Electronic Journal, 2012We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007-2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants.
Bastian Breitenfellner, Niklas Wagner
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Sovereign credit default swaps
BIS Quarterly Review, 2003This paper focuses on the sovereign segment of the credit default swap (CDS) market, examining data covering several years of quotes and trades from an important CDS inter-dealer broker. Compared to corporate or bank CDSs, sovereign CDSs are concentrated in fewer names and in contracts with reference assets of relatively short maturity, apparently a ...
Frank Packer, Chamaree Suthiphongchai
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Credit Default Swaps and Bank Regulatory Capital
, 2020Chenyu Shan, D. Tang, Hongjun Yan
semanticscholar +1 more source
2010
This thesis charts the evolution of the credit default swaps (CDS) market from its inception to the present day. The first part focuses on the principles of CDS trading, the differences between CDS and insurance, the structure of the markets and variation in their volumes during the period, the influence of CDS on the credit crisis and the current ...
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This thesis charts the evolution of the credit default swaps (CDS) market from its inception to the present day. The first part focuses on the principles of CDS trading, the differences between CDS and insurance, the structure of the markets and variation in their volumes during the period, the influence of CDS on the credit crisis and the current ...
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2014
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products.
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The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products.
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Debt-for-climate swaps: Killing two birds with one stone?
Global Environmental Change, 2021Dennis Essers +2 more
exaly