Hedging emerging market bonds and the rise of credit default swap
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Nuri, J and Skinner, F (2007) Hedging emerging market bonds and the rise of credit default swap International Review of Financial Analysis, 16 (5). 452 - 470. ISSN 1057-5219
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Official URL: http://dx.doi.org/10.1016/j.irfa.2007.06.004
Abstract
On October 5, 2001, when credit spreads were widening, the Chicago Mercantile Exchange CME de-listed the full menu of emerging market Brady bond futures contracts. This is intriguing because at a time when interest in hedging and speculating in emerging market sovereign credit risk should be at its peak, the CME de-listed precisely the sort of contract designed to hedge and speculate in sovereign credit risk. This paper finds statistical evidence suggesting that the developing over the counter CDS contract acted as a substitute product for the Brady bond futures contract thereby undermining the Brady bond futures contract and contributing to its demise.
| Item Type: | Article |
|---|---|
| Additional Information: | NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis . Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 16(5), December 2007, DOI 10.1016/j.irfa.2007.06.004. |
| Uncontrolled Keywords: | Emerging market bonds, Credit default swap, brady bonds, Future contracts, Hedging |
| Divisions: | Faculty of Business, Economics and Law > Surrey Business School |
| ID Code: | 715971 |
| Deposited By: | Symplectic Elements |
| Deposited On: | 12 Oct 2012 10:02 |
| Last Modified: | 24 Jan 2013 09:40 |
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