selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …

Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has … literature on CDS that has accumulated over the past two decades. We divide our survey into seven topics after providing a broad … overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction …

estimate the credit default swap premium (CDS) needed to insure each fund’s portfolio against credit losses. We also calculate …

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … unwound. Key results show: Liquidations by constrained members lower the CCP's profits and make cds-spreads less informative …

Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has …