Swap spread: Difference between revisions

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The term swap spreads was introduced as a result of the creation of credit default swaps (CDOs) by investment bank JP Morgan in 1994.<ref name=Fu >Fu, Li, M. C., & Molyneux, P. (2020). Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. Empirical Economics, 60(5), 2203–2225. https://doi.org/10.1007/s00181-020-01852-0

Kóbor, Shi, L., & Zelenko, I. (2005). What determines U.S. swap spreads? World Bank.</ref> CDOs generated the fundamentals of swap spreads which are now deployed to analyse a variety of core market indicators and conditions. The notional amounts of CDS’s have declined, however the structural model has been used continually to examine both firm specific and market determinants of swap spreads. Multifactor analysis of both [[microeconomics|firm specific (microeconomic)]] and [[macroeconomics|market specific ( macroeconomic)]] are aggregated in the [[economy current]] to determine the swap spread size. <ref name="Fu" />

==Finance==