Discussion Paper
The Effects of Entering and Exiting a Credit Default Swap Index
Bai, Jennie; Shachar, Or (2015-03-30)
Since their inception in 2002, credit default swap (CDS) indexes have gained tremendous popularity and become leading barometers of the credit market. Today, investors who want to hedge credit risk or to speculate can choose from a broad menu of indexes that offer protection against the default of a firm, a European sovereign, or a U.S. municipality, among others. The major CDS indexes in the U.S. are the CDX.NA.IG and the CDX.NA.HY, composed of North American investment-grade (IG) and high-yield (HY) issuers, respectively. In this post, we focus on the CDX.NA.IG index. We discuss the ...
Liberty Street Economics , Paper 20150330

Discussion Paper
Is There a Future for Credit Default Swap Futures?
Shachar, Or (2014-12-22)
Last year, IntercontinentalExchange (ICE) launched a credit default swap index futures contract. In the first two weeks there were spurts of interest in it, but soon it became evident that the new product was unable to generate sufficient demand. Given their short life span in the credit default swaps (CDS) market, the question becomes why were these futures contracts launched in the first place? And, assuming that they were created in response to a real need of market participants, will we see a revival of swap futures in the future?
Liberty Street Economics , Paper 20141222