Sovereign credit default swaps

Frank Packer () and Chamaree Suthiphongchai

BIS Quarterly Review, 2003

Abstract: The market for credit derivatives, or financial contracts whose payoffs are linked to changes in the credit quality of a reference asset, has expanded dramatically in recent years. According to the 2002 Credit Derivatives Report of the British Bankers’ Association, the credit derivatives market grew from $40 billion outstanding notional value in 1996 to an estimated $1.2 trillion at the end of 2001, and is expected to reach $4.8 trillion by the end of 2004.2 The same report indicates that single name credit default swaps (CDSs) accounted for roughly 45% of the overall credit derivatives market.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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