scholarly journals The Role of a Changing Market Environment for Credit Default Swap Pricing

2016 ◽  
Vol 21 (3) ◽  
pp. 209-223 ◽  
Author(s):  
Julian S. Leppin ◽  
Stefan Reitz
Keyword(s):  
Credit Default Swap ◽  
Market Environment ◽  
Credit Default ◽  
Default Swap

Credit Default Swaps: A Primer and Some Recent Trends

2020 ◽  
Vol 12 (1) ◽  
pp. 177-192
Author(s):  
David Lando
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
Sovereign Debt Crisis ◽  
European Sovereign Debt Crisis ◽  
Credit Default ◽  
Recent Trends ◽  
Default Swap ◽  
Trading Volumes

The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts, the pricing formula used to interpret the market premiums, the development in trading volumes, and some key insights that are important for understanding its role in markets. I then take a closer look at the CDS-bond basis and the role of trading and regulatory frictions. Finally, the European sovereign debt crisis brought back in focus the notion of a quanto spread, which I explain.

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap
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