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

49 Pages Posted: 30 Jun 2020

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: June 2020

Abstract

The authors establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, they show that dealers became net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and switching to buying protection in the index market. More generally, they argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions’ decisions to participate in these markets and how these decisions affect prices.

Keywords: CDS positions, CDS transactions, dealer market power, credit default swaps, credit derivatives

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 (June 2020). Economic Policy Review, Vol. 26, No. 3, Available at SSRN: https://ssrn.com/abstract=3635051 or http://dx.doi.org/10.2139/ssrn.3635051

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 )

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Or Shachar

Federal Reserve Bank of New York ( email )

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

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