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Credit Default Swaps- A Survey (2014)
| Content Provider | CiteSeerX |
|---|---|
| Author | Augustin, Patrick Subrahmanyam, Marti G. |
| Abstract | Credit default swaps (CDS) have been growing in importance in the global finan-cial markets. However, their role has been hotly debated, in industry and academia, particularly after the credit crisis of 2008-2009 and the European sovereign crisis of 2010-2012. We review the extant literature on CDS that has accumulated over the past two decades. We divide our survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and con-ventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles as well as from that of structural and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has af-fected the characteristics of the related bond and equity markets, with an emphasis |
| File Format | |
| Publisher Date | 2014-01-01 |
| Access Restriction | Open |
| Subject Keyword | Credit Default Swap Survey Cd Market Related Bond Cd Contract Definition Reduced-form Credit Risk Model Credit Crisis European Sovereign Crisis Fourth Section Counterparty Risk No-arbitrage Principle Broad Overview Extant Literature Equity Market Second Section Historical Development Cd Spread Fundamental Credit Risk Factor Third Section Global Finan-cial Market Credit Default Swap |
| Content Type | Text |
