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A Look Under the Hood How Banks Use Credit Default Swaps

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Abstract

This note uses a unique dataset that matches banks' securities and loan portfolios to bank credit derivative transactions to characterize the basic features of how the largest banks in the U.S. use the single name CDS market in their investment portfolios.

Suggested Citation

  • Cecilia R. Caglio & Matt Darst & Eric Parolin, 2016. "A Look Under the Hood How Banks Use Credit Default Swaps," FEDS Notes 2016-12-22-1, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2016-12-22-1
    DOI: 10.17016/2380-7172.1865
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    File URL: https://www.federalreserve.gov/econresdata/notes/feds-notes/2016/a-look-under-the-hood-how-banks-use-credit-default-swaps-20161222.html
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    Cited by:

    1. Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
    2. Aldasoro, Iñaki & Barth, Andreas, 2017. "Syndicated loans and CDS positioning," ESRB Working Paper Series 58, European Systemic Risk Board.
    3. Caglio, Cecilia & Darst, R. Matthew & Parolin, Eric, 2019. "Half-full or half-empty? Financial institutions, CDS use, and corporate credit risk," Journal of Financial Intermediation, Elsevier, vol. 40(C).

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