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Counterparty risk and contract volumes in the credit default swap market

Author

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  • Nicholas Vause

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.

Suggested Citation

  • Nicholas Vause, 2010. "Counterparty risk and contract volumes in the credit default swap market," BIS Quarterly Review, Bank for International Settlements, December.
  • Handle: RePEc:bis:bisqtr:1012g
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    References listed on IDEAS

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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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    Citations

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    Cited by:

    1. 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.
    2. Yeon-Koo Che & Rajiv Sethi, 2014. "Credit Market Speculation and the Cost of Capital," American Economic Journal: Microeconomics, American Economic Association, pages 1-34.
    3. Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).
    4. Julian S. Leppin & Stefan Reitz, 2016. "The Role of a Changing Market Environment for Credit Default Swap Pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 209-223, July.
    5. Rama Cont & Thomas Kokholm, 2013. "Central Clearing of OTC Derivatives: bilateral vs multilateral netting," Papers 1304.5065, arXiv.org.
    6. Karsten von Kleist, 2012. "The BIS framework for monitoring financial derivatives," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the workshop "Data requirements for monitoring derivative transactions", organised by the People's Bank of China and the Irving Fisher , volume 35, pages 43-53 Bank for International Settlements.
    7. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
    8. Tommaso Colozza, 2014. "Standardization of Credit Default Swaps Market," Discussion Papers 2014/190, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    9. Cont Rama & Kokholm Thomas, 2014. "Central clearing of OTC derivatives: Bilateral vs multilateral netting," Statistics & Risk Modeling, De Gruyter, pages 1-20.

    More about this item

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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