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How does risk flow in the credit default swap market?

Citations

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Cited by:

  1. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
  2. Czech, Robert, 2021. "Credit default swaps and corporate bond trading," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  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. Chiara Perillo & Stefano Battiston, 2020. "Financialization and unconventional monetary policy: a financial-network analysis," Journal of Evolutionary Economics, Springer, vol. 30(5), pages 1385-1428, November.
  6. Pawe³ Fiedor & Sarah Lapschies & Lucia Országhová, 2017. "Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market," Working and Discussion Papers WP 7/2017, Research Department, National Bank of Slovakia.
  7. Ali Namaki & Jamshid Ardalankia & Reza Raei & Leila Hedayatifar & Ali Hosseiny & Emmanuel Haven & G. Reza Jafari, 2020. "Analysis of the Global Banking Network by Random Matrix Theory," Papers 2007.14447, arXiv.org.
  8. 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.
  9. Banerjee, Suman & Kong, Mingyuan, 2025. "Modeling optimal strategies in CDS markets: The role of creditor-issuer dynamics," International Review of Financial Analysis, Elsevier, vol. 103(C).
  10. Matthew O Jackson & Agathe Pernoud, 2024. "Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2017-2062.
  11. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  12. Elisa Letizia & Fabrizio Lillo, 2017. "Corporate payments networks and credit risk rating," Papers 1711.07677, arXiv.org, revised Sep 2018.
  13. Portes, Richard & , & D'Errico, Marco & Killeen, Neill & Luz, Vera & Peltonen, Tuomas & Urbano, Teresa, 2017. "Mapping the interconnectedness between EU banks and shadow banking entities," CEPR Discussion Papers 11919, C.E.P.R. Discussion Papers.
  14. Yoshi FUJIWARA & Hiroyasu INOUE & Takayuki YAMAGUCHI & Hideaki AOYAMA & Takuma TANAKA & Kentaro KIKUCHI, 2021. "Money Flow Network Among Firms' Accounts in a Regional Bank of Japan," Discussion papers 21005, Research Institute of Economy, Trade and Industry (RIETI).
  15. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Network-Aware Strategies in Financial Systems," Papers 2002.07566, arXiv.org.
  16. Fiedor, Paweł, 2018. "Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets," ESRB Working Paper Series 72, European Systemic Risk Board.
  17. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  18. Bianchi, Benedetta, 2021. "Cross-border credit derivatives linkages," ESRB Working Paper Series 115, European Systemic Risk Board.
  19. 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.
  20. D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
  21. Financial Stability Committee, Task Force on cross-border Spillover Effects of macroprudential measures & Kok, Christoffer & Reinhardt, Dennis, 2020. "Cross-border spillover effects of macroprudential policies: a conceptual framework," Occasional Paper Series 242, European Central Bank.
  22. Michel Alexandre & Thiago Christiano Silva & Colm Connaughton & Francisco A. Rodrigues, 2021. "The Role of (non-)Topological Features as Drivers of Systemic Risk: a machine learning approach," Working Papers Series 556, Central Bank of Brazil, Research Department.
  23. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Default Ambiguity: Finding the Best Solution to the Clearing Problem," Papers 2002.07741, arXiv.org, revised Oct 2021.
  24. Jung Koo Kang & Christopher D. Williams & Regina Wittenberg-Moerman, 2021. "CDS trading and nonrelationship lending dynamics," Review of Accounting Studies, Springer, vol. 26(1), pages 258-292, March.
  25. Alexandre, Michel & Silva, Thiago Christiano & Connaughton, Colm & Rodrigues, Francisco A., 2021. "The drivers of systemic risk in financial networks: a data-driven machine learning analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  26. repec:srk:srkwps:20240 is not listed on IDEAS
  27. Steffen Schuldenzucker & Sven Seuken & Stefano Battiston, 2020. "Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks," Management Science, INFORMS, vol. 66(5), pages 1981-1998, May.
  28. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
  29. Stolbova, Veronika & Monasterolo, Irene & Battiston, Stefano, 2018. "A Financial Macro-Network Approach to Climate Policy Evaluation," Ecological Economics, Elsevier, vol. 149(C), pages 239-253.
  30. Tabassum & Mohammad Yameen, 2024. "Why do banks use credit default swaps (CDS)? A systematic review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 201-231, February.
  31. 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.
  32. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
  33. Miao Tang & Hong Fan, 2025. "Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 691-715, February.
  34. 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.
  35. 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.
  36. Wang, Lei & Li, Shouwei & Chen, Tingqiang, 2019. "Investor behavior, information disclosure strategy and counterparty credit risk contagion," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 37-49.
  37. Iñaki Aldasoro & Torsten Ehlers, 2018. "The credit default swap market: what a difference a decade makes," BIS Quarterly Review, Bank for International Settlements, June.
  38. Marc Homs-Dones & Robert S. MacKay & Bazil Sansom & Yijie Zhou, 2025. "Circular Directional Flow Decomposition of Networks," Papers 2506.12546, arXiv.org.
  39. Marco D'Errico & Tarik Roukny, 2017. "Compressing Over-the-Counter Markets," Papers 1705.07155, arXiv.org, revised Jun 2019.
  40. Silva, Thiago Christiano & Guerra, Solange Maria & da Silva, Michel Alexandre & Tabak, Benjamin Miranda, 2020. "Micro-level transmission of monetary policy shocks: The trading book channel," Journal of Economic Behavior & Organization, Elsevier, vol. 179(C), pages 279-298.
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