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,...

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...

[eng] The Settlement of Lehman Brothers Bankruptcy on the Credit Default Swap Market . Lehman Brothers bankruptcy created important risks for the credit default swap (CDS) market. Firstly, Lehman Brothers was a key participant of the CDS market, as buyer and seller of a large number of...

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...

There are several types of risk aversion indicators used by financial institutions. These indicators, which are estimated in diverse ways, often show differing developments, although it is not possible to directly assess which is the most appropriate. Here, we consider the most well-known of...

The huge positions on the credit default swaps (CDS) have raised concerns about the ability of the market to settle major entities’ defaults. The near-failure of AIG and the bankruptcy of Lehman Brothers in 2008 have revealed the exposure of CDS’s buyers to counterparty risk and hence...

We analyse the crisis experienced by General Motors (GM) and Ford following the downgrading of their credit ratings in May 2005 and its impact on the financial markets. At that time, the Credit Default Swap (CDS) premia of GM and Ford sharply increased; all other CDS premia also rose markedly, but...