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

67 Pages Posted: 19 Feb 2019 Last revised: 25 Feb 2019

See all articles by Nina Boyarchenko

Nina Boyarchenko

Federal Reserve Bank of New York

Anna M. Costello

University of Michigan, Stephen M. Ross School of Business

Or Shachar

Federal Reserve Bank of New York

Multiple version iconThere are 3 versions of this paper

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

Boyarchenko, Nina and Costello, Anna M. and Shachar, Or, The Long and Short of it: The Post-Crisis Corporate CDS Market (February 2019). CEPR Discussion Paper No. DP13535, Available at SSRN: https://ssrn.com/abstract=3336794

Nina Boyarchenko (Contact Author)

Federal Reserve Bank of New York ( email )

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Anna M. Costello

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States

Or Shachar

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
(212) 720-6974 (Phone)
(212) 720-1582 (Fax)

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