Credit Default Swaps

Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations
1. Auflage 2018
ISBN: 978-3-319-93075-6
Verlag: Springer International Publishing

Buch, Englisch, 331 Seiten, HC runder Rücken kaschiert, Format (B × H): 153 mm x 216 mm, Gewicht: 593 g

Reihe: Palgrave Studies in Risk and Insurance

This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.

Zielgruppe

Research

Autoren/Hrsg.

Culp, Christopher L.

Stärkle, Bettina J.

van der Merwe, Andria

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft

Inhaltsverzeichnis

Part I: The CDS Market and Product Mechanics.- Chapter 1: Overview of CDS Products and Market Activity.- Chapter 2: Single-Name CDSs.- Chapter 3: Loan-Only CDSs.- Chapter 4: Multi-Name and Index CDSs.- Chapter 5: Asset-Backed CDSs.- Chapter 6: CDS Execution and Clearing Mechanisms.- Part II: Potential Benefits and Costs of CDSs.- Chapter 7: Potential Benefits of CDSs.- Chapter 8: Potential Costs of CDSs.- Part III: Empirical Evidence on the Benefits, Costs, and Inter-Market Relations of CDSs.- Chapter 9: The Informational Content of CDS Spreads.- Chapter 10: Implications of CDS Listings for Reference Entities and Creditors.- Chapter 11: Inter-Market Basis Relations.- Chapter 12: Inter-Connectedness and Systemic Risk.- Appendix 1: Research Methodology.- Appendix 2: Additional Tables.

Über Autor(innen)

Christopher L. Culp, Ph.D., is a Research Fellow at the Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, an Adjunct Professor at both the Swiss Finance Institute and Universität Bern, a Senior Affiliate with Compass Lexecon, and Managing Director of Financial Economics Consulting, Inc. 
Andria van der Merwe, Ph.D., is a Senior Vice President at Compass Lexecon and a  Research Fellow at the Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise. 

Bettina St?rkle, M.Sc., is an Economist with Compass Lexecon.