Credit Default Swap Markets in the Global Economy

An Empirical Analysis

Business & Finance
Cover of the book Credit Default Swap Markets in the Global Economy by Go Tamakoshi, Shigeyuki Hamori, Taylor and Francis
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Author: Go Tamakoshi, Shigeyuki Hamori ISBN: 9781351997034
Publisher: Taylor and Francis Publication: January 19, 2018
Imprint: Routledge Language: English
Author: Go Tamakoshi, Shigeyuki Hamori
ISBN: 9781351997034
Publisher: Taylor and Francis
Publication: January 19, 2018
Imprint: Routledge
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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