Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations
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| Format: | Buch |
| Sprache: | English |
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palgrave macmillan
[2018]
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| Schriftenreihe: | Palgrave Studies in Risk and Insurance
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| Online-Zugang: | Inhaltsverzeichnis |
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| 245 | 1 | 0 | |a Credit default swaps |b mechanics and empirical evidence on benefits, costs, and inter-market relations |c Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle |
| 264 | 1 | |a Cham |b palgrave macmillan |c [2018] | |
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| 338 | |b nc |2 rdacarrier | ||
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| 650 | 4 | |a Insurance | |
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| 650 | 4 | |a Securities | |
| 650 | 4 | |a Insurance | |
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Datensatz im Suchindex
| _version_ | 1819784846424145920 |
|---|---|
| adam_text | Contents
Part I The CDS Market and Product Mechanics
Overview of CDS Products and Market Activity 3
i.i Primary CDS Product Types 3
l.i.i Single-Name CDSs 3
1.1.2 Multi-Name CDSs 4
1.1.3 Asset-Backed CDSs 6
1.2 Aggregate Market Activity 7
1.2.1 CDS Notional Amounts Outstanding 7
1.2.2 CDS Trading Activity 11
Referettces 13
Single-Name CDSs 15
2.1 Standard Single-Name CDS Terms and Conventions 17
2.1.1 Underlying Reference Name 17
2.1.2 Maturity/Tenor 20
2.1.3 Coupon/Spread/Premium 21
2.1.4 Credit Events 23
2.1.5 Settlement Methods 30
2.1.6 Deliverable Obligations for Single-Name
CDSs with Physical or Auction Settlement 37
2.2 Selected Credit Event Determinations 39
2.2.1 The Argentine Republic (2001) 39
XXV
xxvi CONTENTS
2.2.2 The Hellenic Republic (2012) 40
2.2.3 Noble Group Ltd. (2017) 45
2.2.4 Blackstone-Hovnanian (2017—2018) 48
References 64
3 Loan-Only CDSs 67
3.1 The Syndicated Leveraged Loan Market 68
3.1.1 Syndication and Loan Facilities 69
3.1.2 The Commoditization of the Leveraged
Loan Market 74
3.2 Distinctions Between LCDSs and CDSs 77
3.2.1 Triggering Credit Events 77
3.2.2 Coupon/Spread 78
3.2.3 Deliverable Obligations and Settlement
Methods 79
3.2.4 Early Terminations and Bullet LCDSs 81
References 83
4 Multi-Name and Index CDSs 85
4.1 Portfolio and Basket Multi-Name CDSs 85
4.1.1 Portfolio CDSs 85
4.1.2 Nth-to-Default Basket CDSs 89
4.1.3 Excess-of-Loss Basket CDSs 9 0
4.2 Index CDSs 93
4.2.1 Underlying Reference Portfolios 94
4.2.2 Index Series and Roll Dates 94
4.2.3 Pricing and Settlement 96
4.3 Tranched Index CDSs 96
References 97
5 Asset-Backed CDSs 99
5.1 Structured Finance and ABSs 100
5.1.1 Special Purpose Entities 101
5.1.2 Types of Securitizations 102
5.2 Typical ABSs 103
5.2.1 RMBSs and Home Equity
Loan-Backed ABSs 105
5.2.2 CDOs 110
5.3 Asset-Backed CDSs Under the 2003 Definitions 115
CONTENTS
XXVl i
5.3.1 SPE Issuers and Credit Events Under
the 2003 Definitions 116
53.2 Coinplicatiofts Arising from ABS Structures 117
5A The ISDA PAUG Template 118
5A.1 ABCDSs 119
5A.2 CDSs on CDO Tranches 121
References 123
6 CDS Execution and Clearing Mechanisms 125
6.1 CDS Clearing 127
6.1.1 USA 128
6.1.2 E.U. 129
6.1.3 Market Activity 130
6.2 CDS Trade Execution 132
6.2.1 USA 132
6.2.2 E.U. 134
6.2.3 Market Activity 134
References 138
Part II Potential Benefits and Costs of CDSs
7 Potential Benefits of CDSs 141
7.1 Credit Risk Transfer 141
7.1.1 Realized Default Risk 142
7.1.2 Mark-to-Market Risk 143
7.2 Increased Supply of Loanable Funds 144
7.3 Synthetic Bond Investments 144
7.4 Price Discovery and Information Aggregation 145
References 145
8 Potential Costs of CDSs 147
8.1 Increased Risk-Taking and Diminished Monitoring
by Banks 147
8.2 Empty Creditors, negative Economic Interests,
and Strategic Defaults 148
8.3 “Excessive* Volatility Arising from Speculation 151
8.4 Systemic Risk 153
References 153
xxviii CONTENTS
Part III Empirical Evidence on the Benefits, Costs,
and Inter-Market Relations of CDSs
9 The Informational Content of CDS Spreads 157
9.1 Reference Entity Credit Risk 158
9.1.1 CDS Spreads and the Greek Restructuring
Event 158
9.1.2 CDS Spreads and the Lehman Credit Event 160
9.2 Determinants of CDS Spreads 162
9.2.1 CDS Spreads and Expected Credit Losses 163
9.2.2 The Term Structure of CDS Spreads 165
9.2.3 Determinants of CDS Risk Premiums 168
9.3 Single-Name CDS Event Studies 173
9.3.1 Credit Rating Actions 175
9.3.2 Spillover Effects from Adverse Credit Events 177
9.3.3 Other Corporate Performance
Announcements 179
9.3.4 Other Announcements and Information 180
References 182
10 Implications of CDS Listings for Reference
Entities and Creditors 193
10.1 The Impact of Single-Name CDSs on Bank Lenders 194
10.1.1 Determinants of Bank Usage of Single-Name
CDSs and Implications for Monitoring 194
10.1.2 Single-Name CDSs and Risk-Taking
by Banks and Insurers 198
10.1.3 Single-Name CDSs and Loan Syndicates 199
10.2 The Impact of the Availability of Single-Name
CDSs on Reference Entities 201
10.2.1 Impact on the Supply of Credit 202
10.2.2 Impact on Reference Entity Borrowing Costs 203
10.2.3 Impacts on Reference Entity Corporate
Financing Decisions and Capital Structure 205
10.2.4 CDS Externalities 207
10.2.5 The Empty Creditor and Negative Interest
Problems 209
References 213
CONTENTS XXIX
11 Inter-Alarket Basis Relations 219
li.i Price Discovery 219
11.1.1 CDSs vs. Bonds 220
11.1.2 CDSs vs. Equities 222
11.2 Impacts of Single-Name CDS Trading on Bond
Market Qttality 225
11.3 Impacts of Single-Nam e CDS Trading on Equity
Market Quality 229
11.4 The CDS-Bond Basis 231
11.4.1 Measuring the CDS-Bond Basis 232
11.4.2 Economic Factors Affecting the Basis 233
11.4.3 Empirical Examinations of the
CDS-Bond Basis 235
References 242
12 Interconnectedness and Systemic Risk 249
12.1 Credit Default Swap Volatility and Correlation 250
12.2 Measuring Interconnectedness Using CDSs 252
12.3 Sovereign CDSs and Spillover Effects 256
12.3.1 Evidence from the Eurozone Crisis 256
12.3.2 Eehman Brothers and the Credit Crisis 259
12.3.3 Sovereign CDSs and Currency Market
Linkages 259
12.4 Interrelated Sovereign and Banking/Corporate
Credit Risks 260
References 263
Appendix A: Research Methodology 271
Appendix B: Additional Tables 275
Index 323
|
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| author | Culp, Christopher L. 1969- Van der Merwe, Andria Stärkle, Bettina J. |
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| author_facet | Culp, Christopher L. 1969- Van der Merwe, Andria Stärkle, Bettina J. |
| author_role | aut aut aut |
| author_sort | Culp, Christopher L. 1969- |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV045140971 |
| illustrated | Illustrated |
| indexdate | 2024-12-24T06:50:35Z |
| institution | BVB |
| isbn | 9783319930756 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030530777 |
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| physical | xxxvii, 331 Seiten Illustrationen |
| publishDate | 2018 |
| publishDateSearch | 2018 |
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| publisher | palgrave macmillan |
| record_format | marc |
| series2 | Palgrave Studies in Risk and Insurance |
| spellingShingle | Culp, Christopher L. 1969- Van der Merwe, Andria Stärkle, Bettina J. Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations Finance Risk Management Investments and Securities Insurance Investment banking Securities Risk management Kreditmarkt (DE-588)4073788-3 gnd Investmentbank (DE-588)4498161-2 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd Risikomanagement (DE-588)4121590-4 gnd Spill-over-Effekt (DE-588)4225795-5 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4498161-2 (DE-588)4114309-7 (DE-588)7660453-6 (DE-588)4121590-4 (DE-588)4225795-5 |
| title | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations |
| title_auth | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations |
| title_exact_search | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations |
| title_full | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle |
| title_fullStr | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle |
| title_full_unstemmed | Credit default swaps mechanics and empirical evidence on benefits, costs, and inter-market relations Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle |
| title_short | Credit default swaps |
| title_sort | credit default swaps mechanics and empirical evidence on benefits costs and inter market relations |
| title_sub | mechanics and empirical evidence on benefits, costs, and inter-market relations |
| topic | Finance Risk Management Investments and Securities Insurance Investment banking Securities Risk management Kreditmarkt (DE-588)4073788-3 gnd Investmentbank (DE-588)4498161-2 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd Risikomanagement (DE-588)4121590-4 gnd Spill-over-Effekt (DE-588)4225795-5 gnd |
| topic_facet | Finance Risk Management Investments and Securities Insurance Investment banking Securities Risk management Kreditmarkt Investmentbank Kreditrisiko Kreditderivat Risikomanagement Spill-over-Effekt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030530777&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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