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Credit Default Swaps: Past, Present, and Future

FE08CH10-Augustin ARI 30 August 2016 12:53 REVIEWSINADVANCEC redit Default swaps : Past, present , and FuturePatrick Augustin,1 Marti G. Subrahmanyam,2 Dragon Y. Tang,3and Sarah Q. Wang41 Desautels Faculty of Management, McGill University, Montreal H3A 1G5, Canada;email: N. Stern School of Business, New York University, New York, NY 10012;email: of Business and Economics, University of Hong Kong, Hong Kong;email: Business School, University of Warwick, Warwick CV4 7AL, United Kingdom;email: Rev. Financ. Econ. 2016. 8 Review of Financial Economicsis onlineat article s 2016 by Annual rights reservedKeywordsagency conflicts, asset pricing, CDS, Credit risk, derivatives, marketstructure, sovereign debtAbstractCredit Default swaps (CDS) have grown to be a multi-trillion-dollar, globallyimportant market.

FE08CH10-Augustin ARI 30 August 2016 12:53 1. INTRODUCTION Creditdefaultswaps(CDS)wereengineeredin1994bytheUSbankJ.P.MorganInc.totransfer credit risk …

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