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The Long and Short of It: The Post-Crisis Corporate CDS Market

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  • Boyarchenko, Nina
  • Costello, Anna
  • Shachar, Or

Abstract

The 2007-2009 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market in the post-crisis period, document the properties of participants' exposures to corporate CDS over time, and study the differential pricing of transactions between different types of counterparties.

Suggested Citation

  • Boyarchenko, Nina & Costello, Anna & Shachar, Or, 2019. "The Long and Short of It: The Post-Crisis Corporate CDS Market," CEPR Discussion Papers 13535, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:13535
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    References listed on IDEAS

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    1. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
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    More about this item

    Keywords

    CDS positions; CDS transactions; dealer market power;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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