Credit Default Swaps and Financial Crisis Prediction

Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect of CDS´s that relates to the prediction of ﬁnancial crises in emergingmarkets and in case of ma jor multi national corporations.

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Year of publication:	2003-06-01
Authors:	Neftci, Salih ; Oliveira Santos, Andre ; Lu, Yinqiu
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Ausfallrisiko \| Swap \| Risikoprämie

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Extent:	470016 bytes 19 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 114 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Capital budgeting, budgetary planning and budgetary control ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858549