Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

We show that existing metrics of CDS returns poorly approximate cash flow-based CDS
returns. Given the complexities involved in computing CDS returns correctly, we provide a …

Price fluctuations of sovereign default insurance are dominated by common risks. In
contrast, fluctuations in their quantities are primarily explained by country-specific factors …

Credit Default Swaps (CDS) are financial derivative products that insure bond investors
against firm-default. Determining the payout, however, is complicated because the …

Credit default swaps were a major addition to the array of financial instruments available in
the market. But as is typical for a fundamentally new product, the early designs had to be …

Literature proposes various ways to understand the corporate credit risk using different
financial assets. This thesis empirically verifies these practices, by studying the relations …

This thesis studies the design of auctions used in financial markets. The first chapter studies
the market for Credit Default Swaps (CDS), which are financial derivative products that …

Credit default swaps (CDSs) are the primary type of derivatives contracts with which market
participants can protect themselves against the risk of a default by one or more underlying …

Single-name credit default swaps (“CDSs”) are financial instruments that facilitate the
transfer of credit risk on a defined universe of debt securities issued by an underlying …