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.
Leave a Comment
You must be logged in to post a comment.
Login