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Enhanced BIS statistics on credit risk transfer

Author

Listed:
  • Nicholas Vause

Abstract

From June 2011, the BIS credit derivatives statistics provide more granular information on the types of risks transferred through credit default swaps by different groups of counterparties. The new data suggest that reporting dealers have used some hard-to-value credit derivatives to transfer credit risk to shadow banks, possibly exposing these counterparty groups to valuation risks. The data also show that some financial counterparties have sold protection against defaults in the same sector on a net basis.

Suggested Citation

  • Nicholas Vause, 2011. "Enhanced BIS statistics on credit risk transfer," BIS Quarterly Review, Bank for International Settlements, December.
    • Handle: RePEc:bis:bisqtr:1112i
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," NBER Working Papers 19985, National Bureau of Economic Research, Inc.
    2. Stefan Avdjiev & Patrick McGuire & Philip Wooldridge, 2015. "Enhancements to the BIS international banking statistics," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    3. Bengtsson, E., 2013. "Fund Management and Systemic Risk - Lessons from the Global Financial Crisis," CITYPERC Working Paper Series 2013-06, Department of International Politics, City University London.
    4. repec:spo:wpmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
    5. Stefan Avdjiev & Patrick McGuire & Philip Wooldridge, 2015. "Enhanced data to analyse international banking," BIS Quarterly Review, Bank for International Settlements, September.
    6. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017. "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, vol. 21(1), pages 363-385.
    7. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," NBER Working Papers 19985, National Bureau of Economic Research, Inc.
    8. repec:hal:spmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
    9. repec:dau:papers:123456789/13143 is not listed on IDEAS
    10. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017. "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, vol. 21(1), pages 363-385.

    More about this item

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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