The market for credit default swaps: new insights into investors' use of accounting information?

Abstract

Abstract The market for credit default swaps has developed into a well‐functioning, global multi‐trillion dollar market, wherein investors price and transfer corporate financial instruments on the basis of credit risk. This paper first summarizes the structure and growth of the market. Next, I introduce theory and evidence on how investors price credits risk and explain how the quality of financial statement information plays a unique role in the determination of credit spread. I then review the nascent empirical accounting literature on this topic. This review sheds light on several accounting research questions that might be understood better in the setting of the credit default swap market. The final section summarizes suggestions for future work.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 32 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.