Enhanced BIS statistics on credit risk transfer
AbstractFrom 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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Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2011)
Issue (Month): (December)
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- 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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- Portes, Richard & Fouquau, Julien & Delatte, Anne-Laure, 2014.
"Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract,"
Economics Papers from University Paris Dauphine
123456789/13143, Paris Dauphine University.
- 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.
- 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.
- Anne Laure Delatte, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," Documents de Travail de l'OFCE 2014-08, Observatoire Francais des Conjonctures Economiques (OFCE).
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