Credit default swaps: a survey
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston [u.a.]
Now
2014
|
| Schriftenreihe: | Foundations and trends in finance
9,1 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | this book is originally published as Foundations and trends in finance Vol. 9, Iss. 1-2 (2014) |
| Beschreibung: | X, 205 S. |
| ISBN: | 9781601989000 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804152852330840064 |
|---|---|
| adam_text | 3
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74
Contents
Introduction
The CDS Contract and Market Structure
2.1 CDS contract.........................................
2.2 CDS market...........................................
2.3 Regulatory development of CDS .......................
2.4 CDS auctions.........................................
CDS Pricing
3.1 Basic arbitrage pricing..............................
3.2 Structural approaches................................
3.3 Reduced-form model...................................
3.4 Counterparty risk and liquidity......................
3.5 The term structure of CDS spreads....................
3.6 The loan-only credit default swap (LCDS).............
CDS and Related Markets: Corporate Bonds and Stocks
4.1 CDS and corporate bonds..............................
4.2 CDS and the equity market............................
4.3 CDS and equity options...............................
IX
X
5 CDS and Corporate Finance 77
5.1 Credit supply and cost of debt............................ 78
5.2 Restructuring and bankruptcy.............................. 89
5.3 Corporate governance...................................... 92
6 CDS and Financial Intermediaries 97
6.1 Performance of banks...................................... 98
6.2 Other financial institutions..............................103
7 Sovereign CDS 109
7.1 Major differences from corporate CDS......................110
7.2 Default events: Ecuador, Greece and Argentina ............Ill
7.3 The market for sovereign CDS..............................115
7.4 Sovereign CDS spread determinants.........................126
7.5 Contagion and spillovers..................................136
7.6 The CDS-bond relationship and frictions...................142
8 CDS Indices 151
8.1 Market overview...........................................152
8.2 Credit indices — a primer.................................157
8.3 Early research on credit indices..........................160
8.4 Second-generation indices.................................161
9 Summary and Future Research 169
Acknowledgements 175
References
177
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| title | Credit default swaps a survey |
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