Reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises

Discusses of the mechanics of single-name and index CDSs

Explores the theoretical costs and benefits of CDS

Unveils a comprehensive summary of the empirical evidence on important aspects of these instruments of risk transfer

Part I: The CDS Market and Product Mechanics

Chapter 1: Overview of CDS Products and Market Activity

A......... Primary CDS Product Types

1......... Single-Name CDSs

3......... Asset-Backed CDSs

B......... Aggregate Market Activity

1......... CDS Notional Amounts Outstanding

2......... CDS Trading Activity

End Notes for Chapter 1

Chapter 2: Single-Name CDSs

A......... Standard Single-Name CDS Terms and Conventions

1......... Underlying Reference Name

2......... Maturity/Tenor

4......... Credit Events

5......... Settlement Methods

6......... Deliverable Obligations for Single-Name CDSs with Physical or Auction Settlement

B......... Selected Credit Event Determinations

2......... The Hellenic Republic (2012)

3......... Noble Group Ltd. (2017)

4......... Blackstone-Hovnanian (2017-2018)

References for Chapter 2

End Notes for Chapter 2

Chapter 3: Loan-Only CDSs

A......... The Syndicated Leveraged Loan Market

1......... Syndication and Loan Facilities

2......... The Commoditization of the Leveraged Loan Market

1......... Triggering Credit Events

2......... Coupon/Spread

3......... Deliverable Obligations and Settlement Methods

4......... Early Terminations and Bullet LCDSs

End Notes for Chapter 3

Chapter 4: Multi-Name and Index CDSs

A......... Portfolio and Basket Multi-Name CDSs

1......... Portfolio CDSs

2......... Nth-to-Default Basket CDSs

B......... Index CDSs

1......... Underlying Reference Portfolios

2......... Index Series and Roll Dates

3......... Pricing and Settlement

C......... Tranched Index CDSs

References for Chapter 4

End Notes for Chapter 4

Chapter 5: Asset-Backed CDSs

A......... Structured Finance and ABSs

1......... Special Purpose Entities

2......... Types of Securitizations

2......... CDOs

C......... Asset-Backed CDSs Under the 2003 Definitions

1......... SPE Issuers and Credit Events Under the 2003 Definitions

2......... Complications Arising from ABS Structures

2......... CDSs on CDO Tranches

References for Chapter 5

Chapter 6: CDS Execution and Clearing Mechanisms

A......... CDS Clearing

1......... U.S.

2......... E.U.

3......... Market Activity

B......... CDS Trade Execution

1......... U.S.

3......... Market Activity

References for Chapter 6

End Notes for Chapter 6

Chapter 7: Potential Benefits of CDSs

A......... Credit Risk Transfer

1......... Realized Default Risk

B......... Increased Supply of Loanable Funds

C......... Synthetic Bond Investments

D......... Price Discovery and Information Aggregation

References for Chapter 7

Chapter 8: Potential Costs of CDSs

A......... Increased Risk-Taking and Diminished Monitoring by Banks

C......... "Excessive" Volatility Arising from Speculation

D......... Systemic Risk

References for Chapter 8

End Notes for Chapter 8

Part III: Empirical Evidence on the Benefits, Costs, and Inter-Market Relations of CDSs

Chapter 9: The Informational Content of CDS Spreads

A......... Reference Entity Credit Risk

1......... CDS Spreads and the Greek Restructuring Event

B......... Determinants of CDS Spreads

1......... CDS Spreads and Expected Credit Losses

2......... The Term Structure of CDS Spreads

3......... Determinants of CDS Risk Premiums

1......... Credit Rating Actions

2......... Spillover Effects from Adverse Credit Events

3......... Other Corporate Performance Announcements

References for Chapter 9

End Notes for Chapter 9

Chapter 10: Implications of CDS Listings for Reference Entities and Creditors

A......... The Impact of Single-Name CDSs on Bank Lenders

1......... Determinants of Bank Usage of Single-Name CDSs and Implications for Monitoring.

2......... Single-Name CDSs and Risk-Taking by Banks and Insurers

B......... The Impact of the Availability of Single-Name CDSs on Reference Entities

1......... Impact on the Supply of Credit

2......... Impact on Reference Entity Borrowing Costs

3......... Impacts on Reference Entity Corporate Financing Decisions and Capital Structure

4......... CDS Externalities

References for Chapter 10

End Notes for Chapter 10

Chapter 11: Inter-Market Basis Relations

A......... Price Discovery

1......... CDSs vs. Bonds

2......... CDSs vs. Equities

B......... Impacts of Single-Name CDS Trading on Bond Market Quality

D......... The CDS-Bond Basis

1......... Measuring the CDS-Bond Basis

2......... Economic Factors Affecting the Basis

3......... Empirical Examinations of the CDS-Bond Basis

End Notes for Chapter 11

Chapter 12: Inter-Connectedness and Systemic Risk

A......... Credit Default Swap Volatility and Correlation

B......... Measuring Interconnectedness Using CDSs

C......... Sovereign CDSs and Spillover Effects

1......... Evidence from the Eurozone Crisis

2......... Lehman Brothers and the Credit Crisis

D......... Interrelated Sovereign and Banking/Corporate Credit Risks

References for Chapter 12

Appendices

Appendix 1: Research Methodology

A......... Sample Universe

B......... Citation Style

C......... Sample Data Underlying Surveyed Articles

End Notes for Appendix 1

Appendix 2: Additional Tables