Credit Default Swaps: Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations

by Christopher L. Culp, Andria van der Merwe, Bettina J. Stïrkle

Overview

This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.

Product Details

ISBN-13:	9783319930763
Publisher:	Palgrave Macmillan
Publication date:	07/12/2018
Series:	Palgrave Studies in Risk and Insurance
Sold by:	Barnes & Noble
Format:	eBook
File size:	1 MB

About the Author

Christopher L. Culp, Ph.D., is a Research Fellow at the Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, an Adjunct Professor at both the Swiss Finance Institute and Universität Bern, a Senior Affiliate with Compass Lexecon, and Managing Director of Financial Economics Consulting, Inc. 

Andria van der Merwe, Ph.D., is a Senior Vice President at Compass Lexecon and a  Research Fellow at the Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise. 

Bettina Stӓrkle, M.Sc., is an Economist with Compass Lexecon. 

Table of Contents

Part I: The CDS Market and Product Mechanics.- Chapter 1: Overview of CDS Products and Market Activity.- Chapter 2: Single-Name CDSs.- Chapter 3: Loan-Only CDSs.- Chapter 4: Multi-Name and Index CDSs.- Chapter 5: Asset-Backed CDSs.- Chapter 6: CDS Execution and Clearing Mechanisms.- Part II:  Potential Benefits and Costs of CDSs.- Chapter 7: Potential Benefits of CDSs.- Chapter 8: Potential Costs of CDSs.- Part III:  Empirical Evidence on the Benefits, Costs, and Inter-Market Relations of CDSs.- Chapter 9: The Informational Content of CDS Spreads.- Chapter 10: Implications of CDS Listings for Reference Entities and Creditors.- Chapter 11: Inter-Market Basis Relations.- Chapter 12: Inter-Connectedness and Systemic Risk.- Appendix 1: Research Methodology.- Appendix 2: Additional Tables.

What People are Saying About This

From the Publisher

“The authors of this book have delved deeply into the academic literature on credit derivatives markets, and, by doing so, have drawn a number of important conclusions–as well as debunked some myths. We’re very pleased that what started out as a research study for ISDA has been further developed and expanded into this very useful and comprehensive book.” (Scott O’Malia, Chief Executive Officer, International Swaps and Derivatives Association)

“The authors have provided us with the ‘Rosetta Stone’ for CDS products, helping demystify these instruments through a comprehensive discussion of the evolution, benefits, and limitations of these important risk management tools. Citing rigorous academic work and empirical evidence, the authors have written a compelling and detailed overview of CDS products that policymakers, academics, and practitioners alike would benefit from reading.” (Walt Lukken, President and Chief Executive Officer, Futures Industry Association )

“The authors have provided an enormous service to market participants, regulators, other policy makers, researchers, and students, by collating, condensing, and making clear sense of a large body of knowledge regarding credit default swaps. This book will be the most widely cited and heavily used reference work covering the topic.” (Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University)

“This beautiful book is at once comprehensive and succinct. Everything you could want to know about how CDS work and more importantly why they work is in these pages, lucidly explained.” (John H. Cochrane, Rose-Marie and Jack AndersonSenior Fellow, Hoover Institution, Stanford University)