Essays on credit default swaps

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Essays on credit default swaps

This thesis is structured to research on a financial derivative asset known as a credit default swap (CDS). A CDS is a contract in which the buyer of protection makes a series of payments (often referred to as CDS spreads) to the protection seller and, in exchange, receives a payoff if a default eve...

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Bibliographic Details
Main Author:	Guo, Biao
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2013
Subjects:	credit default swap; credit risk; liquidity risk; regime switching; sovereign risk; spillover; term structure; macroeconomic factors; principal component analysis; Kalman Filter
Online Access:	https://eprints.nottingham.ac.uk/13101/

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