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Credit Default Swap Markets in the Global Economy

Go Tamakoshi | Shigeyuki Hamori
€192.20
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A01=Go Tamakoshi
A01=Shigeyuki Hamori
Age Group_Uncategorized
Age Group_Uncategorized
ARDL Bound Test Approach
Asymmetric Cointegration
Asymmetric DCC Model
Author_Go Tamakoshi
Author_Shigeyuki Hamori
automatic-update
Banking Sector CDS
Banking Sector CDS Index
Category1=Non-Fiction
Category=KCB
Category=KFFM
CDS Contract
CDS Data
CDS Index
CDS Market
CDS Premium
CDS Spread
COP=United Kingdom
Credit default swaps
Credit derivatives
DCC Estimate
DCC GARCH Model
Delivery_Delivery within 10-20 working days
Dol Method
econometric modelling
empirical credit risk modelling
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
European Union
Extreme Co-movements
financial contagion
Forecast Error Variance
Global economy
Go Tamakoshi
Language_English
PA=Available
Price_€100 and above
PS=Active
risk assessment
Risk management
Sector CDS
Sector CDS Index
sectoral interdependence
Shigeyuki Hamori
softlaunch
Sovereign CDS
Sovereign CDS Market
Sovereign CDS Spread
sovereign debt analysis
Spillover Index
Tail Dependence
TED Spread
time series finance
Volatility Spillovers

Product details

  • ISBN 9781138244726
  • Weight: 420g
  • Dimensions: 156 x 234mm
  • Publication Date: 25 Jan 2018
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Hardback
  • Language: English
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Description

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.
About Go Tamakoshi | Shigeyuki Hamori
Go Tamakoshi is Research Fellow at the Department of Economics of Kobe University, Japan. He received his PhD in Economics from Kobe University and an MBA from MIT Sloan School of Management. He has published many papers in refereed journals. He is the co-author of The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015). Shigeyuki Hamori is a Professor of Economics at Kobe University, Japan. He received his PhD from Duke University and has published many papers in refereed journals. His titles include Introduction of the Euro and the Monetary Policy of the European Central Bank (World Scientific, 2009), The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015), and Financial Globalization and Regionalism in East Asia (Routledge, 2014).

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