Coudert, Virginie; Gex, Mathieu - In: Journal of International Financial Markets, … 20 (2010) 2, pp. 109-134
We study the General Motors (GM) and Ford crisis in 2005 in order to determine if the credit default swap (CDS) market is subject to contagion effects. Has the crisis spread to the whole (CDS) market? To answer this question, we study the correlations between CDS premia, by using a sample of 226...