Credit Default Swap Markets in the Global Economy : An Empirical Analysis

著者名：Tamakoshi, Go/Hamori, Shigeyuki

Routledge（2018/01/19発売）

• 言語：ENG
• ISBN：9780367504212
• eISBN：9781351997034

Description

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

Table of Contents

Introduction  Part I: Sovereign CDS Markets  1. Relationship Between Sovereign CDS and Banking Sector CDS  2. Key Determinants of Sovereign CDS Spreads  3. Dynamic Spillover Among Sovereign CDS Spreads  Part II: Sector-Level CDS Markets  4. Causality Among Financial Sector CDS Indices  5. Co-Movement and Spillovers Among Financial Sector CDS Indices  6. Dependence Structure of Insurance Sector CDS Indices  7. Time-Varying Correlation Among Bank Sector CDS Indices  Part III: Firm-Level CDS Markets  8. Dynamic Correlation Among Banks’ CDS Spreads  9. Dependence Structures Among Corporate CDS Indices  10. Interdependence Between Corporate CDS Indices: Application of Continuous Wavelet Transform  Concluding Chapter