Credit default swap markets in the global economy: an empirical analysis
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
London and New York
Routledge, Taylor & Francis Group
2018
|
| Schriftenreihe: | Routledge studies in the modern world economy
173 |
| Schlagwörter: | |
| Links: | http://www.gbv.de/dms/zbw/1004789149.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030275791&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | x, 169 Seiten Illustrationen, Diagramme |
| ISBN: | 9781138244726 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1819327391009341440 |
|---|---|
| adam_text | Contents
List of figures
List of tables
Vlll
IX
Introduction
1
1 What is a CDS? 1
2 The Lehman collapse and CDSs 3
3 The European financial crisis and CDSs 4
4 Debate about CDS 6
5 The purpose of this book 7
Part I: Sovereign CDS markets 8
Part II: Sect or-lev el CDS markets 9
Part III: Firm-level CDS markets 11
References 12
1.1 httroduction 17
1.2 Empirical methodology 19
1.3 Data and empirical results 20
1.4 Conclusion 24
References 25
2 Key determinants of sovereign CDS spreads 27
2.1 Introduction 27
2.2 Empirical methodology 29
2.3 Data 31
2.4 Empirical results 33
2.5 Conclusion 36
References 37
PARTI
Sovereign CDS markets
15
1 Relationship between sovereign CDS and
banking sector CDS
17
vi Contents
3 Dynamic spillover among sovereign CDS spreads
39
3.1 Introduction 39
3.2 Empirical methodology 41
3.3 Data 43
3.4 Empirical results 45
3.5 Conclusion 54
References 55
4.1 Introduction 59
4.2 Empirical methodology 61
4.3 Data 63
4.4 Empirical results 64
4.5 Conclusion 69
References 70
5 Co-movement and spillovers among financial
sector CDS indices 72
5.1 Introduction 72
5.2 Empirical methodology 74
5.3 Data 77
5.4 Empirical results 78
5.5 Conclusion 85
References 86
6 Dependence structure of insurance sector CDS indices 88
6.1 Introduction 88
6.2 Empirical methodology 90
6.3 Data 93
6.4 Empirical results 94
6.5 Conclusion 100
References 102
7 Time-varying correlation among bank sector CDS indices 104
7.1 Introduction 104
7.2 Empirical methodology 107
7.3 Data 108
7.4 Empirical results 110
7.5 Conclusion 114
References 115
PART II
Sector-level CDS markets
57
4 Causality among financial sector CDS indices
59
PART III
Firm-level CDS markets
Qont nits vii
8 Dynamic correlation among banks’ CDS spreads
8.1 Introduction 119
8.2 Empirical methodology 121
8.3 Data 122
8.4 Empirical results 125
8.5 Conclusion 129
Keferences 130
9 Dependence structures among corporate CDS indices
9.1 Introduction 131
9.2 Empirical methodology 133
9.3 Data 135
9.4 Empirical results 137
9.5 Conclusion 142
Keferences 143
10 Interdependence between corporate CDS indices:
application of continuous wavelet transform
10.1 Introduction 145
10.2 Methodology 146
10.3 Data 150
10.4 Empirical results 151
10.5 Cojtclusion 158
Keferences 159
Concluding chapter
117
119
131
145
160
First publication of each chapter
Index
166
168
|
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| id | DE-604.BV044881592 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T18:13:10Z |
| institution | BVB |
| isbn | 9781138244726 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030275791 |
| oclc_num | 1012839950 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-188 |
| physical | x, 169 Seiten Illustrationen, Diagramme |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | Routledge, Taylor & Francis Group |
| record_format | marc |
| series | Routledge studies in the modern world economy |
| series2 | Routledge studies in the modern world economy |
| spellingShingle | Tamakoshi, Go Hamori, Shigeyuki 1959- Credit default swap markets in the global economy an empirical analysis Routledge studies in the modern world economy Kreditderivat (DE-588)7660453-6 gnd Weltmarkt (DE-588)4117627-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4117627-3 (DE-588)4029578-3 |
| title | Credit default swap markets in the global economy an empirical analysis |
| title_auth | Credit default swap markets in the global economy an empirical analysis |
| title_exact_search | Credit default swap markets in the global economy an empirical analysis |
| title_full | Credit default swap markets in the global economy an empirical analysis Go Tamakoshi and Shigeyuki Hamori |
| title_fullStr | Credit default swap markets in the global economy an empirical analysis Go Tamakoshi and Shigeyuki Hamori |
| title_full_unstemmed | Credit default swap markets in the global economy an empirical analysis Go Tamakoshi and Shigeyuki Hamori |
| title_short | Credit default swap markets in the global economy |
| title_sort | credit default swap markets in the global economy an empirical analysis |
| title_sub | an empirical analysis |
| topic | Kreditderivat (DE-588)7660453-6 gnd Weltmarkt (DE-588)4117627-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Kreditderivat Weltmarkt Kapitalmarkt |
| url | http://www.gbv.de/dms/zbw/1004789149.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030275791&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV010677319 |
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