Advertisement

© 2018

Credit Default Swaps

Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations

Book

Part of the Palgrave Studies in Risk and Insurance book series (PSRIIN)

Table of contents

  1. Front Matter
    Pages i-xxxvii
  2. The CDS Market and Product Mechanics

    1. Front Matter
      Pages 1-1
    2. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 3-13
    3. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 15-65
    4. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 67-83
    5. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 85-97
    6. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 99-124
    7. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 125-138
  3. Potential Benefits and Costs of CDSs

    1. Front Matter
      Pages 139-139
    2. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 141-145
    3. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 147-154
  4. Empirical Evidence on the Benefits, Costs, and Inter-Market Relations of CDSs

    1. Front Matter
      Pages 155-155
    2. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 157-192
    3. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 193-217
    4. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 219-248
    5. Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle
      Pages 249-270
  5. Back Matter
    Pages 271-331

About this book

Introduction

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.

Keywords

Credit Default Swaps CDS asset-backed securities market crisis credit risk transfer index products indices loans

Authors and affiliations

  1. 1.Johns Hopkins UniversityBaltimoreUSA
  2. 2.Johns Hopkins UniversityBaltimoreUSA
  3. 3.Compass LexeconChicagoUSA

About the authors

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. 

Bibliographic information

  • Book Title Credit Default Swaps
  • Book Subtitle Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations
  • Authors Christopher L. Culp
    Andria van der Merwe
    Bettina J. Stärkle
  • Series Title Palgrave Studies in Risk and Insurance
  • Series Abbreviated Title Palgrave Studies in Risk and Insurance
  • DOI https://doi.org/10.1007/978-3-319-93076-3
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2018
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance Economics and Finance (R0)
  • Hardcover ISBN 978-3-319-93075-6
  • Softcover ISBN 978-3-030-06580-5
  • eBook ISBN 978-3-319-93076-3
  • Series ISSN 2523-8221
  • Series E-ISSN 2523-823X
  • Edition Number 1
  • Number of Pages XXXVII, 331
  • Number of Illustrations 25 b/w illustrations, 2 illustrations in colour
  • Topics Risk Management
    Investments and Securities
    Insurance
  • Buy this book on publisher's site

Reviews

“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 Anderson Senior Fellow, Hoover Institution, Stanford University)