Gisela Reichmuth

Contagion of Affinity: Predicting CDS Spikes in Global Systemically Important Banks

This paper examines the predictive power of credit default swap (CDS) spread correlations in the context of the 2023 Credit Suisse failure. Using a two-window design, we separate a 50-week pre-crisis period from the final two-week “jump” window and evaluate whether historical mar...