Naifar, Nader (2008): La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit? Unpublished.
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the aim of this paper is to explain the effect of "Subrime" crisis on credit default swap markets. After the problems of CDO's insttruments, protection buyers use classical credit derivatives instruments such CDS contracts.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit? |
| Language: | French |
| Keywords: | Subrime crisis, CDO, CDS |
| Subjects: | F - International Economics > F3 - International Finance > F30 - General N - Economic History > N2 - Financial Markets and Institutions > N20 - General, International, or Comparative B - History of Economic Thought, Methodology, and Heterodox Approaches > B0 - General > B00 - General |
| ID Code: | 11909 |
| Deposited By: | naifar |
| Deposited On: | 03. Dec 2008 15:57 |
| Last Modified: | 05. Dec 2008 14:58 |
| References: | Abid, F and N. Naifar (2005), “The impact of stock returns volatility on credit default swap rates: a copula study”, International Journal of Theoretical and Applied Finance, Vol.8, No.8 pp: 1135-1155. Abid, F and N. Naifar (2006), “Credit default swap rates and equity volatility: a nonlinear relationship”, The Journal of Risk Finance, Volume 7, Number 4, August 2006, p: 348-371. |
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