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

1st Edition

Go Tamakoshi, Shigeyuki Hamori

Routledge
Published January 25, 2018
Reference - 170 Pages - 28 B/W Illustrations
ISBN 9781138244726 - CAT# Y312392
Series: Routledge Studies in the Modern World Economy

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Summary

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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