We analyse the links between credit default swaps (CDSs) and bonds and try to determine which is the leader in the price discovery process. As the respective sizes of the markets are quite different for sovereigns and corporates, we consider a sample including both categories. For each entity,...

Fluctuations in investor risk aversion are often cited as a factor explaining crises on financial markets. The alternation between periods of bullishness prompting investors to make risky investments, and periods of bearishness, when they retreat to the safest forms of investments, could be at...

Prospects for a restructuring of Greek debt gave rise to: 1/ strong fears of an amplification of systemic risk associated with doubts as to whether the European financial system would be able to cope with a sovereign default; 2/ discussions about whether the credit default swaps (CDSs) would be...

The credit default swap (CDS) market has grown much faster than other derivatives markets since its inception. Even though it is dwarfed by the interest rate derivatives market, which is eight times larger, its growth has affected the stability of the financial system. CDS were originally...

The Lehman Brothers insolvency and LCH.Clearnet’s successful management of its default in 2008 were a major driver for the G20’s decision to mandate clearing of over-the-counter derivatives. The benefits to systemic stability of central clearing was further proven by the successful wind-down...