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

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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Citation

Boyarchenko, N, A Costello and O Shachar (2019), ‘DP13535 The Long and Short of It: The Post-Crisis Corporate CDS Market‘, CEPR Discussion Paper No. 13535. CEPR Press, Paris & London. https://cepr.org/publications/dp13535