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Enhanced BIS statistics on credit risk transfer

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  • Nicholas Vause
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    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.

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    File URL: http://www.bis.org/publ/qtrpdf/r_qt1112i.pdf
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    File URL: http://www.bis.org/publ/qtrpdf/r_qt1112i.htm
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    Bibliographic Info

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

    Volume (Year): (2011)
    Issue (Month): (December)
    Pages:

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    Handle: RePEc:bis:bisqtr:1112i

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    Cited by:
    1. Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," CEPR Discussion Papers 9898, C.E.P.R. Discussion Papers.

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