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

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Cover Title Copyright Contents List of figures List of tables Introduction 1 What is a CDS? 2 The Lehman collapse and CDSs 3 The European financial crisis and CDSs 4 Debate about CDS 5 The purpose of this book Part I: Sovereign CDS markets Part II: Sector-level CDS markets Part III: Firm-level CDS markets References PART I Sovereign CDS markets 1 Relationship between sovereign CDS and banking sector CDS 1.1 Introduction 1.2 Empirical methodology 1.3 Data and empirical results 1.4 Conclusion References 2 Key determinants of sovereign CDS spreads 2.1 Introduction 2.2 Empirical methodology 2.3 Data 2.4 Empirical results 2.5 Conclusion References 3 Dynamic spillover among sovereign CDS spreads 3.1 Introduction 3.2 Empirical methodology 3.3 Data 3.4 Empirical results 3.5 Conclusion References PART II Sector-level CDS markets 4 Causality among financial sector CDS indices 4.1 Introduction 4.2 Empirical methodology 4.3 Data 4.4 Empirical results 4.5 Conclusion References 5 Co-movement and spillovers among financial sector CDS indices 5.1 Introduction 5.2 Empirical methodology 5.3 Data 5.4 Empirical results 5.5 Conclusion References 6 Dependence structure of insurance sector CDS indices 6.1 Introduction 6.2 Empirical methodology 6.3 Data 6.4 Empirical results 6.5 Conclusion References 7 Time-varying correlation among bank sector CDS indices 7.1 Introduction 7.2 Empirical methodology 7.3 Data 7.4 Empirical results 7.5 Conclusion References PART III Firm-level CDS markets 8 Dynamic correlation among banks’ CDS spreads 8.1 Introduction 8.2 Empirical methodology 8.3 Data 8.4 Empirical results 8.5 Conclusion References 9 Dependence structures among corporate CDS indices 9.1 Introduction 9.2 Empirical methodology 9.3 Data 9.4 Empirical results 9.5 Conclusion References 10 Interdependence between corporate CDS indices: application of continuous wavelet transform 10.1 Introduction 10.2 Methodology 10.3 Data 10.4 Empirical results 10.5 Conclusion References Concluding chapter First publication of each chapter Index