Do CDS Indices Measure the Credit Risk of the Whole CDS M...
Deng, Qiulei
CDS indices are widely accepted as market indicators for systematic credit risks and tools for credit risk correlation trading. This paper examines the major North America and European CDS Indices on their abilities to capture the systematic risk of the overall CDS market. Through designing and constructing two synthetic CDS indices that represent the North America and European CDS markets respectively, we compare the current CDS indices and t...