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

1st Edition

Go Tamakoshi, Shigeyuki Hamori

Published April 1, 2020
Reference - 170 Pages - 28 B/W Illustrations
ISBN 9780367504212 - CAT# 374086
Series: Routledge Studies in the Modern World Economy

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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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