Credit default swap markets in the global economy : an empirical analysis

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were 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 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 methodology 2.3 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 6 Dependence structure of insurance sector CDS indices 6.1 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 banks’ 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 9.2 Empirical methodology 9.3 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 "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

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how theywere 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.