Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:roll 

Discussion Paper
The Effects of Entering and Exiting a Credit Default Swap Index

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

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G1 1 items

FILTER BY Keywords

Basel III 1 items

CDX Index 1 items

Dodd Frank 1 items

Volcker Rule 1 items

basis 1 items

roll 1 items

show more (1)

PREVIOUS / NEXT