Advanced Search
MyIDEAS: Login

The Credit Default Swap Market and the Settlement of Large Defaults

Contents:

Author Info

  • Virginie Coudert
  • Mathieu Gex

Abstract

The huge positions on the credit default swaps (CDS) have raised concerns about the ability of the market to settle major entities’ defaults. The near-failure of AIG and the bankruptcy of Lehman Brothers in 2008 have revealed the exposure of CDS’s buyers to counterparty risk and hence highlighted the necessity of organizing the market, which triggered a large reform process. First we analyse the vulnerabilities of the market at the bursting of this crisis. Second, to understand its resilience to major credit events, we unravel the auction process implemented to settle defaults, the strategies of buyers and sellers and the links with the bond market. We then study the way it worked for key defaults, such as Lehman Brothers, Washington Mutual, CIT and Thomson, as well as, for the Government Sponsored Enterprises. Third, we discuss the ongoing reforms aimed at strengthening the market resilience.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cepii.fr/PDF_PUB/wp/2010/wp2010-17.pdf
Download Restriction: no

Bibliographic Info

Paper provided by CEPII research center in its series Working Papers with number 2010-17.

as in new window
Length:
Date of creation: Aug 2010
Date of revision:
Handle: RePEc:cii:cepidt:2010-17

Contact details of provider:
Postal: 113, rue de Grenelle, 75700 Paris SP07
Phone: 33 01 53 68 55 00
Fax: 33 01 53 68 55 01
Web page: http://www.cepii.fr
More information through EDIRC

Related research

Keywords: Credit derivatives; bankruptcy; credit default swap; auction;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Mikhail Chernov & Alexander S.Gorbenko & Igor Makarov, 2011. "CDS Auctions," FMG Discussion Papers dp688, Financial Markets Group.
  2. repec:hum:wpaper:sfb649dp2012-051 is not listed on IDEAS

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cii:cepidt:2010-17

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.