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Palgrave Studies in Risk and Insurance

Credit Default Swaps

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

Authors: Culp, Christopher L., van der Merwe, Andria, Stärkle, Bettina J.

  • Reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises
  • Discusses of the mechanics of single-name and index CDSs
  • Explores the theoretical costs and benefits of CDS
  • Unveils a comprehensive summary of the empirical evidence on important aspects of these instruments of risk transfer
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Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-319-93076-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $119.99
price for USA
  • ISBN 978-3-319-93075-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

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. 

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)

Table of contents (12 chapters)

  • Overview of CDS Products and Market Activity

    Culp, Christopher L. (et al.)

    Pages 3-13

  • Single-Name CDSs

    Culp, Christopher L. (et al.)

    Pages 15-65

  • Loan-Only CDSs

    Culp, Christopher L. (et al.)

    Pages 67-83

  • Multi-Name and Index CDSs

    Culp, Christopher L. (et al.)

    Pages 85-97

  • Asset-Backed CDSs

    Culp, Christopher L. (et al.)

    Pages 99-124

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-319-93076-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $119.99
price for USA
  • ISBN 978-3-319-93075-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Credit Default Swaps
Book Subtitle
Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations
Authors
Series Title
Palgrave Studies in Risk and Insurance
Copyright
2018
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-3-319-93076-3
DOI
10.1007/978-3-319-93076-3
Hardcover ISBN
978-3-319-93075-6
Series ISSN
2523-8221
Edition Number
1
Number of Pages
XXXVII, 331
Number of Illustrations and Tables
25 b/w illustrations, 2 illustrations in colour
Topics