Credit Default Swaps: A Survey

ISBN-13: 9781601989000 / Angielski / Miękka / 2014 / 216 str.

Marti Subrahmanyam; Patrick Augustin; Dragon Yongjun Tang

Opis

This monograph reviews the growing literature on CDS that has accumulated over the past two decades, and reports significant research findings on CDS contracts and markets from the perspectives of issuers, investors, corporate executives and policy makers. While most of the presentation focuses on empirical research, the authors also discuss the major theoretical foundations of CDS, including definitional issues such as contract design and their effect on pricing.

Spis treści

• Introduction
• The CDS Contract and Market Structure
• CDS Pricing
• CDS and Related Markets: Corporate Bonds and Stocks
• CDS and Corporate Finance
• CDS and Financial Intermediaries
• Sovereign CDS
• CDS Indices
• Summary and Future Research
• Acknowledgements
• References