This study investigates the link between price discovery dynamics in sovereign credit default swaps (CDS) and bond … markets and degree of financial integration of emerging markets. Using CDS and sovereign bond spreads, the price discovery … that sovereign CDS and bond markets are cointegrated. In 57 percent of times, the CDS market leads in price discovery by …

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …

Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has … literature on CDS that has accumulated over the past two decades. We divide our survey into seven topics after providing a broad … overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction …

estimate the credit default swap premium (CDS) needed to insure each fund’s portfolio against credit losses. We also calculate …

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price … changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of …