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Full Details

Title: The Long and Short of It: The Post-Crisis Corporate CDS Market

Author(s): Nina Boyarchenko, Anna Costello and Or Shachar

Publication Date: February 2019

Keyword(s): CDS positions, CDS transactions and dealer market power

Programme Area(s): Financial Economics

Abstract: The 2007-2009 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market in the post-crisis period, document the properties of participants' exposures to corporate CDS over time, and study the differential pricing of transactions between different types of counterparties.

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Bibliographic Reference

Boyarchenko, N, Costello, A and Shachar, O. 2019. 'The Long and Short of It: The Post-Crisis Corporate CDS Market'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13535