2008 SEC Short Selling Ban: Impacts on the Credit Default Swap Market

Counterparty credit risk and the credit default swap market

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same under...

Hedging of Basket Credit Derivatives in Credit Default Swap Market

Analyzing the Credit Default Swap Market Using Cartesian Genetic Programming

The credit default swap has become well-known as one of the causes of the 2007-2010 credit crisis but more research is vitally needed to analyze and define its impact more precisely and help the financial market transparency. This paper uses cartesian genetic programming as a discovery tool for finding the relationship between credit default swap spreads and debts and studying the arbitrage cha...

Intra-Industry Credit Contagion Evidence from the Credit Default Swap Market and the Stock Market

By exploiting a comprehensive dataset of Credit Default Swaps (CDS), we investigate the intra-industry credit contagion effect in the context of Chapter 11 bankruptcy, Chapter 7 liquidation, and other credit events defined by extreme jumps in the CDS spread. Our analysis suggests the following findings: First, the credit contagion effect dominates the competitive effect surrounding Chapter 11 r...

Constant Maturity Credit Default Swap Pricing with Market Models

In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market under the LIBOR market model. A “convexity adjustment”-like correction is present...