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

Inhalt

Introduction Part I: Sovereign CDS Markets 1. Relationship Between Sovereign CDS and Banking Sector CDS 2. Key Determinants of Sovereign CDS Spreads 3. Dynamic Spillover Among Sovereign CDS Spreads Part II: Sector-Level CDS Markets 4. Causality Among Financial Sector CDS Indices 5. Co-Movement and Spillovers Among Financial Sector CDS Indices 6. Dependence Structure of Insurance Sector CDS Indices 7. Time-Varying Correlation Among Bank Sector CDS Indices Part III: Firm-Level CDS Markets 8. Dynamic Correlation Among Banks' CDS Spreads 9. Dependence Structures Among Corporate CDS Indices 10. Interdependence Between Corporate CDS Indices: Application of Continuous Wavelet Transform Concluding Chapter