Coudert, Virginie; Gex, Mathieu - Centre d'études prospectives et d'informations … - 2008
Has the General Motors (GM) and Ford crisis in 2005 spread to the whole credit default swap (CDS) market? To answer this question, we study the correlations between CDS premia, by using a sample of 226 CDSs on major US and European firms. We show that correlations significantly increased during...