Research

EDHEC puts CDS under the spotlight

June 13, 2012

In recently released research, Dominic O’Kane, affiliated professor of finance at EDHEC Business School, challenges the assumptions about the operation of the eurozone sovereign-linked credit default swaps (CDS) market.

The European Parliament decided to permanently ban so-called “naked” CDS in October 2011 on the back of claims that their speculative use caused or accelerated the rapid decline in 2010-11 bond prices of eurozone periphery countries.

O’Kane performed theoretical and empirical analysis of the relationship between the price of eurozone sovereign-linked CDS and the same sovereign bond market during the debt crisis of 2009 -2011. Read the paper here: The Link between Eurozone Sovereign Debt and CDS Prices.

EDHEC-RIsk Institute, Eurozone, Sovereign debt, sovereign debt crisis

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