Credit Default Swaps: A Primer and Some Recent Trends

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The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts, the pricing formula used to interpret the market premiums, the development in trading volumes, and some key insights that are important for understanding its role in markets. I then take a closer look at the CDS-bond basis and the role of trading and regulatory frictions. Finally, the European sovereign debt crisis brought back in focus the notion of a quanto spread, which I explain.
Original languageEnglish
JournalAnnual Review of Financial Economics
Issue number1
Pages (from-to)177-192
Number of pages16
Publication statusPublished - 2020


  • Credit default swap
  • CDS
  • Single-name CDS
  • Index contracts
  • CDS-bond basis
  • Trading frictions
  • Regulatory capital
  • Sovereign
  • Quanto spreads

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