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Counterparty risk and contract volumes in the credit default swap market

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  • Nicholas Vause
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    Abstract

    After more than a decade of rapid growth, the volume of outstanding credit default swaps peaked at almost $60 trillion at the end of 2007. Since then it has nearly halved, while turnover has continued to rise. The decline in volumes outstanding reflects intensified efforts to reduce counterparty risk, which have eliminated more than $65 trillion of offsetting positions.

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    File URL: http://www.bis.org/publ/qtrpdf/r_qt1012g.pdf
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    File URL: http://www.bis.org/publ/qtrpdf/r_qt1012g.htm
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    Bibliographic Info

    Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

    Volume (Year): (2010)
    Issue (Month): (December)
    Pages:

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    Handle: RePEc:bis:bisqtr:1012g

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    1. Stephen G Cecchetti & Jacob Gyntelberg & Marc Hollanders, 2009. "Central counterparties for over-the-counter derivatives," BIS Quarterly Review, Bank for International Settlements, September.
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    Cited by:
    1. Rama Cont & Thomas Kokholm, 2013. "Central Clearing of OTC Derivatives: bilateral vs multilateral netting," Papers 1304.5065, arXiv.org.
    2. Neuner, Stefan & Schäfer, Klaus, 2011. "Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-02, University of Bayreuth, Chair of Finance and Banking.

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