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

Introduction  Part I: Sovereign CDS Markets  1. Relationship Between Sovereign CDS and Banking Sector CDS  2. Key Determinants of Sovereign CDS Spreads  3. Dynamic Spillover Among Sovereign CDS Spreads  Part II: Sector-Level CDS Markets  4. Causality Among Financial Sector CDS Indices  5. Co-Movement and Spillovers Among Financial Sector CDS Indices  6. Dependence Structure of Insurance Sector CDS Indices  7. Time-Varying Correlation Among Bank Sector CDS Indices  Part III: Firm-Level CDS Markets  8. Dynamic Correlation Among Banks’ CDS Spreads  9. Dependence Structures Among Corporate CDS Indices  10. Interdependence Between Corporate CDS Indices: Application of Continuous Wavelet Transform  Concluding Chapter