| Description |
1 online resource : text file, PDF |
| Series |
Routledge Studies in the Modern World Economy |
| Contents |
Cover; Title; Copyright; Contents; List of figures; List of tables; Introduction; 1 What is a CDS?; 2 The Lehman collapse and CDSs; 3 The European financial crisis and CDSs; 4 Debate about CDS; 5 The purpose of this book; Part I: Sovereign CDS markets; Part II: Sector-level CDS markets; Part III: Firm-level CDS markets; References; PART I Sovereign CDS markets; 1 Relationship between sovereign CDS and banking sector CDS; 1.1 Introduction; 1.2 Empirical methodology; 1.3 Data and empirical results; 1.4 Conclusion; References; 2 Key determinants of sovereign CDS spreads; 2.1 Introduction |
|
2.2 Empirical methodology2.3 Data; 2.4 Empirical results; 2.5 Conclusion; References; 3 Dynamic spillover among sovereign CDS spreads; 3.1 Introduction; 3.2 Empirical methodology; 3.3 Data; 3.4 Empirical results; 3.5 Conclusion; References; PART II Sector-level CDS markets; 4 Causality among financial sector CDS indices; 4.1 Introduction; 4.2 Empirical methodology; 4.3 Data; 4.4 Empirical results; 4.5 Conclusion; References; 5 Co-movement and spillovers among financial sector CDS indices; 5.1 Introduction; 5.2 Empirical methodology; 5.3 Data; 5.4 Empirical results; 5.5 Conclusion; References |
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6 Dependence structure of insurance sector CDS indices6.1 Introduction; 6.2 Empirical methodology; 6.3 Data; 6.4 Empirical results; 6.5 Conclusion; References; 7 Time-varying correlation among bank sector CDS indices; 7.1 Introduction; 7.2 Empirical methodology; 7.3 Data; 7.4 Empirical results; 7.5 Conclusion; References; PART III Firm-level CDS markets; 8 Dynamic correlation among banksâ#x80;#x99; CDS spreads; 8.1 Introduction; 8.2 Empirical methodology; 8.3 Data; 8.4 Empirical results; 8.5 Conclusion; References; 9 Dependence structures among corporate CDS indices; 9.1 Introduction |
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9.2 Empirical methodology9.3 Data; 9.4 Empirical results; 9.5 Conclusion; References; 10 Interdependence between corporate CDS indices: application of continuous wavelet transform; 10.1 Introduction; 10.2 Methodology; 10.3 Data; 10.4 Empirical results; 10.5 Conclusion; References; Concluding chapter; First publication of each chapter; Index |
| Summary |
"This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they had been affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time-series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e. CDS index for the banking sector) and corporate credit default swap indices (i.e. Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets."--Provided by publisher |
| Subject |
Swaps (Finance)
|
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Default (Finance)
|
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Capital market.
|
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Capital market
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Default (Finance)
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Swaps (Finance)
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| Form |
Electronic book
|
| Author |
Hamori, Shigeyuki, author
|
| ISBN |
9781315276663 |
|
1315276666 |
|
