La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit?

Naifar, Nader (2008): La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit?

Abstract

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
• English Title: Does the recent financial crisis affect credit default swap markets?
• 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

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.