The Long and Short of it: The Post-Crisis Corporate CDS Market
67 Pages Posted: 19 Feb 2019 Last revised: 25 Feb 2019
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The Long and Short of It: The Post-Crisis Corporate CDS Market
The Long and Short of It: The Post-Crisis Corporate CDS Market
Date Written: February 2019
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.
Keywords: CDS positions, CDS transactions, dealer market power
JEL Classification: G10, G12, G19
Suggested Citation: Suggested Citation
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