Credit Default Swap Markets in the Global Economy: An Empirical Analysis Contributor(s): Tamakoshi, Go (Author), Hamori, Shigeyuki (Author) |
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ISBN: 0367504219 ISBN-13: 9780367504212 Publisher: Routledge OUR PRICE: $52.24 Product Type: Paperback - Other Formats Published: December 2020 |
Additional Information |
BISAC Categories: - Business & Economics | Economics - General |
Dewey: 332.645 |
Physical Information: 0.4" H x 6.1" W x 9.1" (0.65 lbs) 170 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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. |