Interconnectedness in the CDS Market

24 Pages Posted: 24 Jun 2014

See all articles by Mila Getmansky Sherman

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Giulio Girardi

Securities and Exchange Commission

Craig M. Lewis

Vanderbilt University - Finance

Multiple version iconThere are 2 versions of this paper

Date Written: April 13, 2014

Abstract

Concentrated risks in markets for credit default swaps (CDS) are widely considered to have significantly contributed to the recent financial crisis. In this paper we study the structure of the CDS market using explicit connections based on the total number of CDS transactions, notional value of CDS transactions, and network diagrams. The main objective is to provide statistics that characterize the CDS market, the degree of counterparty concentration, the size of different contracts as well as underlying contractual features, and a preliminary analysis of interconnectivity. Our new approach informs the discussion of the structure and resulting fragility or stability of the CDS market and studies potential contagion among its participants.

Suggested Citation

Getmansky Sherman, Mila and Girardi, Giulio and Lewis, Craig M., Interconnectedness in the CDS Market (April 13, 2014). Vanderbilt Owen Graduate School of Management Research Paper. Available at SSRN: https://ssrn.com/abstract=2458149 or http://dx.doi.org/10.2139/ssrn.2458149

Mila Getmansky Sherman (Contact Author)

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance ( email )

Amherst, MA 01003-4910
United States

Giulio Girardi

Securities and Exchange Commission ( email )

Washington, DC
United States

Craig M. Lewis

Vanderbilt University - Finance ( email )

401 21st Avenue South
Nashville, TN 37203
United States

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