PhD Program

NEW YORK UNIVERSITY

Leonard N. Stern School of Business

PhD Seminar on Credit Default Swaps

Course Description:

Credit default swaps (CDS) have grown to be a multi-trillion dollar, globally important, market. The academic literature on CDS has grown tremendously over the last decade, and has been analyzed from different perspectives using diverse research methodologies. This development has raised several controversies and open debates. CDS contracts and markets have become a key research topic among financial economists, and a current discussion focus for several regulatory initiatives. This seminar provides an exposure to the salient contributions in
the field. The topics covered will be grouped under the following seven sections (1) CDS Market Structure and Regulation, (2) CDS Pricing, (3) CDS, Bond and Equity Markets, (4) CDS and Corporate Finance, (5) CDS and Financial Intermediaries, (6) Sovereign CDS, (7) CDS Indices. In addition to the papers assigned for presentation and detailed discussion in class, an extensive reading list of other related papers and surveys on each topic are also included.

Prerequisite(s):

All participants should have taken Financial Theory I, II, and III (B40.2634, B40.2635 and B40.2336) or should have equivalent background. For those who do not have this background, permission of the instructors is required prior to registration for the seminar.

Text(s):

Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang (2014), Credit Default Swaps: A Survey, Foundations and TrendsTM in Finance: Vol. 9: No. 12, pp 1-196. http://dx.doi.org/10.1561/0500000040

Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang (2015), Credit Default Swaps: Past, Present, and Future, Annual Review of Financial Economics: Vol. 8, pp 1-25.