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Les dérivés de crédit : instruments de couverture et facteurs d'instabilité. L'exemple des « Credit Default Swap »

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  • Nathalie Rey

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cet article montre, à partir d'une analyse sur longue période 2001-2007 des relations inter temporelles entre les marchés français des credit default swap (CDS), des actions et des obligations, comment une innovation financière comme les CDS pourrait être à l'origine d'une instabilité financière. Après avoir présenté les principes de fonctionnement des dérivés de crédit en général et des CDS en particulier, nous construisons un modèle VAR en différence sur trois séries et pour treize entreprises françaises afin de mettre en évidence les relations entre les trois marchés. D'après ce modèle, il existe bien une interdépendance entre les marchés français des actions, des CDS et des obligations avec une influence forte du marché actions sur les deux autres marchés. Cette interdépendance s'accroît en période de tensions sur les marchés.

Suggested Citation

  • Nathalie Rey, 2007. "Les dérivés de crédit : instruments de couverture et facteurs d'instabilité. L'exemple des « Credit Default Swap »," Post-Print halshs-00195901, HAL.
    • Handle: RePEc:hal:journl:halshs-00195901
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00195901
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    References listed on IDEAS

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    1. Norden, Lars & Weber, Martin, 2004. "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series 2004/20, Center for Financial Studies (CFS).
    2. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
    3. Haibin Zhu, 2004. "An empirical comparison of credit spreads between the bond market and the credit default swap market," BIS Working Papers 160, Bank for International Settlements.
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