Credit default swaps : mechanics and empirical evidence on benefits, costs, and inter-market relations /: mechanics and empirical evidence on benefits, costs, and inter-market relations. (2018)

• Record Type: Book
• Further Information: Note: Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle.
• Authors: Culp, Christopher L; Van der Merwe, Andria; Stärkle, Bettina J
• Contents: Part I: The CDS Market and Product Mechanics Chapter 1: Overview of CDS Products and Market Activity A......... Primary CDS Product Types 1......... Single-Name CDSs 2......... Multi-Name CDSs 3......... Asset-Backed CDSs B......... Aggregate Market Activity 1......... CDS Notional Amounts Outstanding 2......... CDS Trading Activity References for Chapter 1 End Notes for Chapter 1 Chapter 2: Single-Name CDSs A......... Standard Single-Name CDS Terms and Conventions 1......... Underlying Reference Name 2......... Maturity/Tenor 3......... Coupon/Spread/Premium 4......... Credit Events 5......... Settlement Methods 6......... Deliverable Obligations for Single-Name CDSs with Physical or Auction Settlement B......... Selected Credit Event Determinations 1......... The Argentine Republic (2001) 2......... The Hellenic Republic (2012) 3......... Noble Group Ltd. (2017) 4......... Blackstone-Hovnanian (2017-2018) References for Chapter 2 End Notes for Chapter 2 Chapter 3: Loan-Only CDSs A......... The Syndicated Leveraged Loan Market 1......... Syndication and Loan Facilities 2......... The Commoditization of the Leveraged Loan Market B......... Distinctions between LCDSs and CDSs 1......... Triggering Credit Events 2......... Coupon/Spread 3......... Deliverable Obligations and Settlement Methods 4......... Early Terminations and Bullet LCDSs References for Chapter 3 End Notes for Chapter 3 Chapter 4: Multi-Name and Index CDSs A......... Portfolio and Basket Multi-Name CDSs 1......... Portfolio CDSs 2......... Nth-to-Default Basket CDSs 3......... Excess-of-Loss Basket CDSs B......... Index CDSs 1......... Underlying Reference Portfolios 2......... Index Series and Roll Dates 3......... Pricing and Settlement C......... Tranched Index CDSs References for Chapter 4 End Notes for Chapter 4 Chapter 5: Asset-Backed CDSs A......... Structured Finance and ABSs 1......... Special Purpose Entities 2......... Types of Securitizations B......... Typical ABSs 1......... RMBSs and Home Equity Loan-Backed ABSs 2......... CDOs C......... Asset-Backed CDSs Under the 2003 Definitions 1......... SPE Issuers and Credit Events Under the 2003 Definitions 2......... Complications Arising from ABS Structures D......... The ISDA PAUG Template 1......... ABCDSs 2......... CDSs on CDO Tranches References for Chapter 5 End Notes for Chapter 5 Chapter 6: CDS Execution and Clearing Mechanisms A......... CDS Clearing 1......... U.S. 2......... E.U. 3......... Market Activity B......... CDS Trade Execution 1......... U.S. 2......... E.U. 3......... Market Activity References for Chapter 6 End Notes for Chapter 6 Part II: Potential Benefits and Costs of CDSs Chapter 7: Potential Benefits of CDSs A......... Credit Risk Transfer 1......... Realized Default Risk 2......... Mark-to-Market Risk B......... Increased Supply of Loanable Funds C......... Synthetic Bond Investments D......... Price Discovery and Information Aggregation References for Chapter 7 End Notes for Chapter 7 Chapter 8: Potential Costs of CDSs A......... Increased Risk-Taking and Diminished Monitoring by Banks B......... Empty Creditors, Negative Economic Interests, and Strategic Defaults C......... 'Excessive' Volatility Arising from Speculation D......... Systemic Risk References for Chapter 8 End Notes for Chapter 8 Part III: Empirical Evidence on the Benefits, Costs, and Inter-Market Relations of CDSs Chapter 9: The Informational Content of CDS Spreads A......... Reference Entity Credit Risk 1......... CDS Spreads and the Greek Restructuring Event 2......... CDS Spreads and the Lehman Credit Event B......... Determinants of CDS Spreads 1......... CDS Spreads and Expected Credit Losses 2......... The Term Structure of CDS Spreads 3......... Determinants of CDS Risk Premiums C......... Single-Name CDS Event Studies 1......... Credit Rating Actions 2......... Spillover Effects from Adverse Credit Events 3......... Other Corporate Performance Announcements 4......... Other Announcements and Information References for Chapter 9 End Notes for Chapter 9 Chapter 10: Implications of CDS Listings for Reference Entities and Creditors A......... The Impact of Single-Name CDSs on Bank Lenders 1......... Determinants of Bank Usage of Single-Name CDSs and Implications for Monitoring. 2......... Single-Name CDSs and Risk-Taking by Banks and Insurers 3......... Single-Name CDSs and Loan Syndicates B......... The Impact of the Availability of Single-Name CDSs on Reference Entities 1......... Impact on the Supply of Credit 2......... Impact on Reference Entity Borrowing Costs 3......... Impacts on Reference Entity Corporate Financing Decisions and Capital Structure 4......... CDS Externalities 5......... The Empty Creditor and Negative Interest Problems References for Chapter 10 End Notes for Chapter 10 Chapter 11: Inter-Market Basis Relations A......... Price Discovery 1......... CDSs vs. Bonds 2......... CDSs vs. Equities B......... Impacts of Single-Name CDS Trading on Bond Market Quality C......... Impacts of Single-Name CDS Trading on Equity Market Quality D......... The CDS-Bond Basis 1......... Measuring the CDS-Bond Basis 2......... Economic Factors Affecting the Basis 3......... Empirical Examinations of the CDS-Bond Basis References for Chapter 11 End Notes for Chapter 11 Chapter 12: Inter-Connectedness and Systemic Risk A......... Credit Default Swap Volatility and Correlation B......... Measuring Interconnectedness Using CDSs C......... Sovereign CDSs and Spillover Effects 1......... Evidence from the Eurozone Crisis 2......... Lehman Brothers and the Credit Crisis 3......... Sovereign CDSs and Currency Market Linkages D......... Interrelated Sovereign and Banking/Corporate Credit Risks References for Chapter 12 End Notes for Chapter 12 Appendices Appendix 1: Research Methodology A......... Sample Universe B......... Citation Style C......... Sample Data Underlying Surveyed Articles End Notes for Appendix 1 Appendix 2: Additional Tables Index.
• Publisher Details: Basingstoke, Hampshire : Palgrave Macmillan
• Publication Date: 2018
• Extent: 1 online resource, illustrations (black and white, and colour)
• Subjects: 332.632; Credit derivatives; Swaps (Finance); Default (Finance); Risk management
• Languages: English
• ISBNs: 9783319930763
• Related ISBNs: 9783319930756
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.