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La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit?
[Does the recent financial crisis affect credit default swap markets?]

Author

Listed:
  • Naifar, Nader

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.

Suggested Citation

  • Naifar, Nader, 2008. "La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit? [Does the recent financial crisis affect credit default swap markets?]," MPRA Paper 11909, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:11909
    as

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    File URL: https://mpra.ub.uni-muenchen.de/11909/1/MPRA_paper_11909.pdf
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    References listed on IDEAS

    as
    1. Fathi Abid & Nader Naifar, 2005. "The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1135-1155.
    2. Fathi Abid & Nader Naifar, 2006. "Credit-default swap rates and equity volatility: a nonlinear relationship," Journal of Risk Finance, Emerald Group Publishing, vol. 7(4), pages 348-371, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Subrime crisis; CDO; CDS;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • B00 - Schools of Economic Thought and Methodology - - General - - - History of Economic Thought, Methodology, and Heterodox Approaches

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