The Australian Credit Default Swap Markets

Daniel Fabbro
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Daniel Fabbro: Reserve Bank of Australia

RBA Bulletin (Print copy discontinued), 2011, 57-66

Abstract: The Australian credit default swap (CDS) market has been increasingly used by financial institutions to trade and manage credit risk. As a result, there has been greater use of the market as a source of credit risk pricing information. Similarities between CDS and bonds allow pricing in the two markets to be compared. However, the CDS market has a greater tendency at times to be affected by poor liquidity, which complicates the interpretation of CDS pricing, particularly when there are large divergences from bond market pricing.

Keywords: Credit default swap; Credit derivative; Bond; Credit risk; Credit exposure; Credit spread; CDS premia; Bid-offer spread (search for similar items in EconPapers)
Date: 2011
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