Index Finder CDX: Tradable CDS Indices CDX indices are a family of tradable credit default swap (CDS) indices covering North America and emerging markets. CDX covers multiple sectors, including: CDX North American Investment Grade CDX North American Investment Grade High Volatility CDX North American...
Third Crossover CDX Index To Launch With Roll.The article reports on the upcoming launch of a third U.S. credit-default swap index referenced to sub-investment grade following the introduction of the Dow Jones North American CDX indices in September 2005....
Already tranches of the indexes are being traded, as well as standardised first-to-default baskets and credit index options. Charles Longden, head of credit market making at ABN Amro in London, England, reckons that exchange-traded credit futures will be the next product to hit the market. ...
Wu , L. and Zhang , F. 2005 . “ A no-arbitrage analysis of economic determinants of the credit spread term structure, Working Paper, Baruch College ” . Google Scholar Zhang , B. , Zhou , H. and Zhu , H. 2008 . “ Explaining credit default swap spreads with equity volatility and...
The credit default swap index (CDX), formerly the Dow Jones CDX, is a benchmark financial instrument made up of credit default swaps that have been issued by North American or emerging market companies. The credit default swap index (CDX) is a benchmark financial instrument comprising credit d...
STANDARD & Poor's 500 IndexCREDIT default swapsGLOBAL Financial Crisis, 2008-2009CREDIT analysisCAPITAL structureInsight into correlations of returns is foundational to understanding how a portfolio might behave, particularly during periods of market stress when diversification may be most desired...
Recent changes to composition rules governing Markit's high-yield credit default swap index appear to be having their intended effect. Four energy corporations are expected to be inserted to the benchmark come September 28, among others. The additions should assuage investors who have become ...
Credit ratingsWe provide evidence of excess comovement in the credit default swap (CDS) market following inclusions to and exclusions from investment grade and high yield CDX indices during the 2003鈥 2016 period. We find that when a name joins an index, its return tends to covary more with ...
Credit default swap indexCDXiTraxxSystemically important financialinstitutionsFinancial stabilityThis paper empirically investigates the linkages between the CDS index market and the equity returns of a sample of systemically important financial institutions (SIFIs). Both the 5-year investment grade iTraxx ...
CDX Protection Buying Returns.The article reports on the efforts of credit default swap index (CDX) protection buyers to drive spreads on the index slightly wider relative both to the underlying names and index tights in May 2006.EBSCO_bspDerivatives Week...