Credit default swaps : mechanics and empirical evidence on benefits, costs, and inter-market relations / Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle.
Culp, Christopher L., author.; Merwe, Ana van der, author.; Stärkle, Bettina J., author.
2018
HG6024.A3
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Title Credit default swaps : mechanics and empirical evidence on benefits, costs, and inter-market relations / Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle.
Author Culp, Christopher L., author.
ISBN 9783319930763 (electronic book)
3319930761 (electronic book)
9783319930756
3319930753
Published Cham : Palgrave Macmillan, 2018.
Language English
Description 1 online resource.
Call Number HG6024.A3
Dewey Decimal Classification 332.645
Summary 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.
Note 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.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (viewed July 18, 2018)
Added Author Merwe, Ana van der, author.
Stärkle, Bettina J., author.
Series Palgrave studies in risk and insurance.
Available in Other Form Print version: 9783319930756
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Intro; Additional Praise for Credit Default Swaps; Foreword; Preface; Contents; About the Authors; Abbreviations and Acronyms; List of Figures; List of Tables; Part I The CDS Market and Product Mechanics; Chapter 1 Overview of CDS Products and Market Activity; 1.1 Primary CDS Product Types; 1.1.1 Single-Name CDSs; 1.1.2 Multi-Name CDSs; 1.1.2.1 Portfolio and Basket CDSs; 1.1.2.2 Index CDSs; 1.1.2.3 Tranched Index CDSs; 1.1.3 Asset-Backed CDSs; 1.2 Aggregate Market Activity; 1.2.1 CDS Notional Amounts Outstanding; 1.2.1.1 Single-Name, Multi-Name, and Index CDSs

1.2.1.2 Single-Name Corporate and Sovereign CDSs, LCDSs, and ABCDSs1.2.2 CDS Trading Activity; References; Chapter 2 Single-Name CDSs; 2.1 Standard Single-Name CDS Terms and Conventions; 2.1.1 Underlying Reference Name; 2.1.1.1 Market Composition by Type of Underlying Reference Entity; 2.1.1.2 Market Composition by Credit Risk of Underlying Reference Entity; 2.1.2 Maturity/Tenor; 2.1.3 Coupon/Spread/Premium; 2.1.4 Credit Events; 2.1.4.1 The 1999 and 2003 Definitions; 2.1.4.2 The 2009 "Big Bang Protocol" and Supplement to the 2003 Definitions; 2.1.4.3 The 2014 Definitions

2.1.5 Settlement Methods2.1.5.1 Physical Settlement; 2.1.5.2 Cash Settlement; 2.1.5.3 Auction Settlement; 2.1.6 Deliverable Obligations for Single-Name CDSs with Physical or Auction Settlement; 2.2 Selected Credit Event Determinations; 2.2.1 The Argentine Republic (2001); 2.2.2 The Hellenic Republic (2012); 2.2.3 Noble Group Ltd. (2017); 2.2.4 Blackstone-Hovnanian (2017-2018); 2.2.4.1 The July 2017 Secured Hovnanian Debt Restructuring; 2.2.4.2 Rumors of an Unsecured Hovnanian Debt Restructuring; 2.2.4.3 The December 2017 Unsecured Hovnanian Debt Refinancing

2.2.4.4 Litigation-Related Controversy2.2.4.5 The April 2018 Second Hovnanian Restructuring; 2.2.4.6 Proposed "Fixes" to Strategic Defaults like Hovnanian; References; Chapter 3 Loan-Only CDSs; 3.1 The Syndicated Leveraged Loan Market; 3.1.1 Syndication and Loan Facilities; 3.1.1.1 Revolving Credit Facilities; 3.1.1.2 Term Loans; 3.1.1.3 Letters of Credit; 3.1.1.4 Bridge Loans; 3.1.2 The Commoditization of the Leveraged Loan Market; 3.2 Distinctions Between LCDSs and CDSs; 3.2.1 Triggering Credit Events; 3.2.2 Coupon/Spread; 3.2.3 Deliverable Obligations and Settlement Methods

3.2.4 Early Terminations and Bullet LCDSs3.2.4.1 Pre-2010 Legacy LCDSs; 3.2.4.2 Post-2010 and Bullet LCDSs; References; Chapter 4 Multi-Name and Index CDSs; 4.1 Portfolio and Basket Multi-Name CDSs; 4.1.1 Portfolio CDSs; 4.1.1.1 Coverage Period; 4.1.1.2 Settlement Mechanisms; 4.1.1.3 Costs of Portfolio CDSs-the Whole Versus the Sum of the Parts; 4.1.2 Nth-to-Default Basket CDSs; 4.1.3 Excess-of-Loss Basket CDSs; 4.2 Index CDSs; 4.2.1 Underlying Reference Portfolios; 4.2.2 Index Series and Roll Dates; 4.2.3 Pricing and Settlement; 4.3 Tranched Index CDSs; References

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