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A Look Under the Hood How Banks Use Credit Default Swaps


  • Cecilia Caglio
  • R. Matthew Darst
  • Eric Parolin


This note uses a unique dataset that matches banks' securities and loan portfolios to bank credit derivative transactions to characterize the basic features of how the largest banks in the U.S. use the single name CDS market in their investment portfolios.

Suggested Citation

  • Cecilia Caglio & R. Matthew Darst & Eric Parolin, 2016. "A Look Under the Hood How Banks Use Credit Default Swaps," FEDS Notes 2016-12-22-1, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgfn:2016-12-22-1
    DOI: 10.17016/2380-7172.1865

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    Cited by:

    1. Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177,
    2. Caglio, Cecilia & Darst, R. Matthew & Parolin, Eric, 2019. "Half-full or half-empty? Financial institutions, CDS use, and corporate credit risk," Journal of Financial Intermediation, Elsevier, vol. 40(C).

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