RT Journal Article SR Electronic T1 The Correlation Structure of the CDS Market: An Empirical Investigation JF The Journal of Fixed Income FD Institutional Investor Journals SP 53 OP 74 DO 10.3905/jfi.2013.22.4.053 VO 22 IS 4 A1 Lara Cathcart A1 Lina El-Jahel A1 Leonard Evans YR 2013 UL https://pm-research.com/content/22/4/53.abstract AB Using an extensive data set of credit default swap (CDS) spreads on U.S. firms, we investigate the correlation structure of the CDS market. For comparison, we also examine the correlation structure of their equity returns. We find that although industry affiliation plays a central role in CDS correlations, so too does rating classification above and below investment grade. By contrast, the correlation structure of equity returns is characterized by industry affiliation. Our results highlight differences in the organization of these markets and the salience of the investment-grade boundary.TOPICS: Credit default swaps, statistical methods