DP13535 The Long and Short of It: The Post-Crisis Corporate CDS Market

Author(s): Nina Boyarchenko, Anna Costello, Or Shachar
Publication Date: February 2019
Date Revised: February 2019
Keyword(s): CDS positions, CDS transactions, dealer market power
JEL(s): G10, G12, G19
Programme Areas: Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=13535

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.