This paper reviews the young but rapidly growing literature on sovereign credit default swap
premia. A discussion of current debates in the academic and popular press hopefully raises …

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 …

Using novel position and trading data for single-name corporate credit default swaps
(CDSs), we provide evidence that CDS markets emerge as “alternative trading venues” …

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 …

Sovereign credit default swap quanto spreads tell us how financial markets view the
interaction between a country's likelihood of default and associated currency devaluations …

We provide a model of nonredundant credit default swaps (CDSs), building on the
observation that CDSs have lower trading costs than bonds. CDS introduction involves a …

We examine the effect of introducing credit default swaps (CDSs) on firm value. Our model
allows for dynamic investment and financing, and bondholders can trade in the CDS market …

The credit default swap (CDS) remains an important class of derivatives contract despite the
declining activity in the single-name corporate market. I provide a quick introduction to the …

This paper introduces a measure that captures the premium in bond prices that is due to the
value of creditor control. We estimate the premium as the difference in the bond price and an …

Premiums on US sovereign credit default swaps (CDS) have risen to persistently elevated
levels since the financial crisis. We examine whether these premiums reflect the probability …