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The network structure of the CDS market and its determinants

Citations

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Cited by:

  1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
  2. Lester, Benjamin & Weill, Pierre-Olivier & Hugonnier, Julien, 2022. "Heterogeneity in decentralized asset markets," Theoretical Economics, Econometric Society, vol. 17(3), July.
  3. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
  4. Aldasoro, Iñaki & Barth, Andreas, 2017. "Syndicated loans and CDS positioning," ESRB Working Paper Series 58, European Systemic Risk Board.
  5. Bellia, Mario & Girardi, Giulio & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas, 2024. "The demand for central clearing: To clear or not to clear, that is the question!," Journal of Financial Stability, Elsevier, vol. 72(C).
  6. Layna Mosley & Victoria Paniagua & Erik Wibbels, 2020. "Moving markets? Government bond investors and microeconomic policy changes," Economics and Politics, Wiley Blackwell, vol. 32(2), pages 197-249, July.
  7. Castrén, Olli & Kavonius, Ilja Kristian & Rancan, Michela, 2022. "Digital currencies in financial networks," Journal of Financial Stability, Elsevier, vol. 60(C).
  8. Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
  9. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
  10. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
  11. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  12. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  13. Arreola Hernandez, Jose & Kang, Sang Hoon & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2020. "Spillovers and diversification potential of bank equity returns from developed and emerging America," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  14. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
  15. Zema, Sebastiano Michele, 2022. "Uncovering the network structure of non-centrally cleared derivative markets: evidences from regulatory data," Working Paper Series 2721, European Central Bank.
  16. Sebastiano Michele Zema, 2023. "Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data," Empirical Economics, Springer, vol. 65(4), pages 1799-1822, October.
  17. D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018. "How does risk flow in the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
  18. Maryam Farboodi, 2014. "Intermediation and Voluntary Exposure to Counterparty Risk," 2014 Meeting Papers 365, Society for Economic Dynamics.
  19. Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  20. Andrea L. Eisfeldt & Bernard Herskovic & Sriram Rajan & Emil Siriwardane, 2018. "OTC Intermediaries," Working Papers 18-05, Office of Financial Research, US Department of the Treasury, revised 24 May 2021.
  21. Clerc, Laurent & Giovannini, Alberto & Langfield, Sam & Peltonen, Tuomas A. & Portes, Richard & Scheicher, Martin, 2016. "Indirect contagion: the policy problem," ESRB Occasional Paper Series 9, European Systemic Risk Board.
  22. Acharya, Viral V. & Gündüz, Yalin & Johnson, Timothy C., 2022. "Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives," Journal of Financial Intermediation, Elsevier, vol. 50(C).
  23. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
  24. Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk & Tabak, Benjamin M., 2017. "Not all emerging markets are the same: A classification approach with correlation based networks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 163-186.
  25. Priya Malhotra & Pankaj Sinha, 2024. "Balanced Funds in India Amid COVID-19 Crisis: Spreader of Financial Contagion?," IIM Kozhikode Society & Management Review, , vol. 13(1), pages 7-24, January.
  26. Bianchi, Benedetta, 2021. "Cross-border credit derivatives linkages," ESRB Working Paper Series 115, European Systemic Risk Board.
  27. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
  28. Joachim Keller & Antoine Bouveret & Cristina Picillo & Zijun Liu & Julien Mazzacurati & Philippe Molitor & Jonas Söderberg & John Theal & Francesco de Rossi & Romain Calleja, 2014. "Securities financing transactions and the (re)use of collateral in Europe – An analysis of the first data collection conducted by the ESRB from a sample of European banks and agent lenders," ESRB Occasional Paper Series 06, European Systemic Risk Board.
  29. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
  30. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
  31. in 't Veld, Daan & van der Leij, Marco & Hommes, Cars, 2020. "The formation of a core-periphery structure in heterogeneous financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  32. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
  33. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "An international forensic perspective of the determinants of bank CDS spreads," Journal of Financial Stability, Elsevier, vol. 33(C), pages 60-70.
  34. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2021. "Financial oligopolies and parallel exclusion in the credit default swap markets," Journal of Financial Markets, Elsevier, vol. 56(C).
  35. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.
  36. Vuillemey, Guillaume & Peltonen, Tuomas A., 2015. "Disentangling the bond–CDS nexus: A stress test model of the CDS market," Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
  37. Andrea Eisfeldt & Bernard Herskovic & Emil Siriwardane & Sriram Rajan, 2019. "OTC Intermediaries," 2019 Meeting Papers 204, Society for Economic Dynamics.
  38. Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
  39. Roukny, Tarik & Georg, Co-Pierre & Battiston, Stefano, 2014. "A network analysis of the evolution of the German interbank market," Discussion Papers 22/2014, Deutsche Bundesbank.
  40. Stathis Tompaidis, 2021. "Comments on “Network Structure and Its Impact on Commodity Markets”," Production and Operations Management, Production and Operations Management Society, vol. 30(12), pages 4577-4578, December.
  41. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
  42. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2017. "Price discovery in equity and CDS markets," Journal of Financial Markets, Elsevier, vol. 35(C), pages 21-46.
  43. Levent Onural & Mustafa Çelebi Pınar & Can Fırtına, 2021. "Modeling Economic Activities and Random Catastrophic Failures of Financial Networks via Gibbs Random Fields," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 203-232, August.
  44. Zappa, Paola & Vu, Duy Q., 2021. "Markets as networks evolving step by step: Relational Event Models for the interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  45. Yao, Dongmin & Sun, Rong & Gao, Qiunan, 2022. "The network structure of the China bond market: Characteristics and explanations from trading factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
  46. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers tel-03507099, HAL.
  47. Shengxing Zhang & Briana Chang, 2015. "Endogenous Market-making and Formation of Trading Links," 2015 Meeting Papers 1227, Society for Economic Dynamics.
  48. Chang, Briana & Zhang, Shengxing, 2015. "Endogenous market making and network formation," LSE Research Online Documents on Economics 119005, London School of Economics and Political Science, LSE Library.
  49. Guillaume Vuillemey, 2019. "Bank Interest Rate Risk Management," Management Science, INFORMS, vol. 65(12), pages 5933-5956, December.
  50. Briana Chang & Shengxing Zhang, 2015. "Endogenous Market Making and Network Formation," Discussion Papers 1534, Centre for Macroeconomics (CFM).
  51. Laurent Clerc & Alberto Giovannini & Sam Langfield & Tuomas Peltonen & Richard Portes & Martin Scheicher, 2016. "Indirect contagion: the policy problem," ESRB Occasional Paper Series 09, European Systemic Risk Board.
  52. Cohen-Cole, Ethan & Patacchini, Eleonora & Zenou, Yves, 2015. "Static and dynamic networks in interbank markets," Network Science, Cambridge University Press, vol. 3(1), pages 98-123, March.
  53. Mark Paddrik & Stathis Tompaidis, 2024. "Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets," Working Papers 24-01, Office of Financial Research, US Department of the Treasury.
  54. Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015. "Central clearing and collateral demand," Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256.
  55. Gündüz, Yalin, 2018. "Mitigating counterparty risk," Discussion Papers 35/2018, Deutsche Bundesbank.
  56. Mili, Mehdi, 2019. "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, vol. 48(C), pages 187-200.
  57. Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020. "Contagion in derivatives markets," LSE Research Online Documents on Economics 100868, London School of Economics and Political Science, LSE Library.
  58. Abad, Jorge & Aldasoro, Iñaki & Aymanns, Christoph & D'Errico, Marco & Hoffmann, Peter & Langfield, Sam & Neychev, Martin & Roukny, Tarik & Rousová, Linda, 2016. "Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset," ESRB Occasional Paper Series 11, European Systemic Risk Board.
  59. Kitty Moloney & Oisin Kenny & Neill Killeen, 2016. "Network analysis using EMIR credit default swap data: micro-level evidence from Irish-domiciled special purpose vehicles (SPVs)," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
  60. Hung-Chun Huang & Hsin-Yu Shih & Tsung-Han Ke, 2017. "Structure of a patent transaction network," Scientometrics, Springer;Akadémiai Kiadó, vol. 111(1), pages 25-45, April.
  61. Laurent Clerc & Gabrieli, S. & Kern, S. & El Omari, Y., 2014. "Monitoring the European CDS Market through Networks: Implications for Contagion Risks," Working papers 477, Banque de France.
  62. Gandy, Axel & Veraart, Luitgard A. M., 2021. "Compound poisson models for weighted networks with applications in finance," LSE Research Online Documents on Economics 104185, London School of Economics and Political Science, LSE Library.
  63. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
  64. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020. "Contagion in Derivatives Markets," Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
  65. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
  66. Anouk Levels & René de Sousa van Stralen & Sînziana Kroon Petrescu & Iman van Lelyveld, 2018. "CDS market structure and risk flows: the Dutch case," DNB Working Papers 592, Netherlands Central Bank, Research Department.
  67. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).
  68. Chang, Briana & Zhang, Shengxing, 2015. "Endogenous market making and network formation," LSE Research Online Documents on Economics 65105, London School of Economics and Political Science, LSE Library.
  69. Pervaiz Alam & Xiaoling Pu & Barry Hettler & Hai Lin, 2020. "The pricing of accruals quality in credit default swap spreads," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 1943-1977, September.
  70. Wang, Hu & Li, Shouwei, 2020. "Risk contagion in multilayer network of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  71. Ferrara, Gerardo & Kim, Jun Sung & Koo, Bonsoo & Liu, Zijun, 2021. "Counterparty choice in the UK credit default swap market: An empirical matching approach," Economic Modelling, Elsevier, vol. 94(C), pages 58-74.
  72. Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
  73. Rama Cont & Andreea Minca, 2016. "Credit default swaps and systemic risk," Annals of Operations Research, Springer, vol. 247(2), pages 523-547, December.
  74. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," Sciences Po Economics Publications (main) tel-03507099, HAL.
  75. Hałaj, Grzegorz & Peltonen, Tuomas A. & Scheicher, Martin, 2018. "How did the Greek credit event impact the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 136-158.
  76. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
  77. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
  78. Farboodi, Maryam, 2017. "Comment on network reactions to banking regulations by Selman Erol and Guillermo Ordonez," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 68-70.
  79. Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
  80. Iñaki Aldasoro & Torsten Ehlers, 2018. "The credit default swap market: what a difference a decade makes," BIS Quarterly Review, Bank for International Settlements, June.
  81. Xu, Tao & He, Jianmin & Li, Shouwei, 2016. "A dynamic network model for interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 131-138.
  82. P. Giudici & A. Spelta, 2016. "Graphical Network Models for International Financial Flows," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 128-138, January.
  83. Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016. "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, vol. 26(C), pages 62-77.
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