A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a loan default or other credit event. The buyer of the CDS makes a series of payments (the CDS "fee"or "spread") to the seller and, in exchange, receives a payoff if the loan defaults.

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
The relationship between credit default swap spreads, bond yields, and credit rating announcements
American Finance Association Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
Valuing Credit Default Swaps I: No Counterparty Default Risk
Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
The Determinants of Credit Default Swap Premia
Good and bad credit contagion: Evidence from credit default swaps ☆
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms