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.
General
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