Anlyzing the U. S. credit default swap (CDS) markets : efficiency, interdependence, contagion, causal flows and asymmetric determinants
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Date
2016
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Terengganu: Universiti Malaysia Terengganu
Abstract
The Credit Default Swap (CDS) with its unique characteristic to transfer credit risk has gained considerable attention especially after the financial crises of 2007-08. Extant literature has given less focus to CDS and the pivotal research areas such as efficiency, interdependence, contagion, causal-flows between credit and stock markets and determinants of credit markets are relatively untapped.
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Keywords
HG 6024 .U6 S9 2016, Syed Jawad Hussain Shahzad, Swaps (Finance)- United States, Credit derivatives - United States