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The Australian Credit Default Swap Markets

Author

Listed:
  • Daniel Fabbro

    (Reserve Bank of Australia)

Abstract

The Australian credit default swap (CDS) market has been increasingly used by financial institutions to trade and manage credit risk. As a result, there has been greater use of the market as a source of credit risk pricing information. Similarities between CDS and bonds allow pricing in the two markets to be compared. However, the CDS market has a greater tendency at times to be affected by poor liquidity, which complicates the interpretation of CDS pricing, particularly when there are large divergences from bond market pricing.

Suggested Citation

  • Daniel Fabbro, 2011. "The Australian Credit Default Swap Markets," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 57-66, December.
    • Handle: RePEc:rba:rbabul:dec2011-06
    as

    Download full text from publisher

    File URL: https://www.rba.gov.au/publications/bulletin/2011/dec/pdf/bu-0911-6.pdf
    Download Restriction: no
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    Cited by:

    1. Yanotti, Maria Belen, 2013. "A review of the Australian mortgage market," Working Papers 2014-01, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Aug 2013.

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