Credit risk transfer statistics
AbstractThe financial crisis that began in August 2007 has revealed important gaps in statistics on credit risk transfer (CRT) instruments. In particular, information on structural changes in global CRT markets and on the transfer and ultimate distribution of credit risk has not been sufficiently comprehensive or timely. This report explores how data on CRT collected under the auspices of the CGFS could be enhanced. One main focus was to be on expanding the coverage of credit default swap (CDS) instruments to gain a better understanding of the structural changes in global CRT markets, as well as obtaining better information on the transfer and ultimate distribution of credit risk. It proposes some short-term and longer-term changes to the existing CDS reporting, which will be fully implemented by June 2011.
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Bibliographic InfoThis book is provided by Bank for International Settlements in its series CGFS Papers with number 35 and published in 2009.
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