Stressed to the core: Counterparty concentrations and systemic losses in CDS markets
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DOI: 10.1016/j.jfs.2016.10.012
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- Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.
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Citations
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Cited by:
- Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
- Zema, Sebastiano Michele, 2022. "Uncovering the network structure of non-centrally cleared derivative markets: evidences from regulatory data," Working Paper Series 2721, European Central Bank.
- Sebastiano Michele Zema, 2023. "Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data," Empirical Economics, Springer, vol. 65(4), pages 1799-1822, October.
- Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021.
"Simulating liquidity stress in the derivatives market,"
Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
- Mark Paddrik & H. Peyton Young, 2016.
"Contagion in the CDS Market,"
Working Papers
16-12, Office of Financial Research, US Department of the Treasury.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
- Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
- Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, May.
- Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2017.
"Credit risk interconnectedness: What does the market really know?,"
Journal of Financial Stability, Elsevier, vol. 29(C), pages 1-12.
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- Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).
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More about this item
Keywords
Credit default swaps; Stress testing; Systemic risk; Financial networks; Counterparty exposure; Contagion;All these keywords.
JEL classification:
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
- G01 - Financial Economics - - General - - - Financial Crises
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
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