Morrison, Alan; Vasios, Michalis; Wilson, Mungo; Zikes, … - 2017
of credit default swap (CDS) transactions between banks, we identify bank CDS returns attributable to counterparty losses …. A bank's own CDS spread increases whenever counterparties from whom it has purchased default protection themselves … experience losses. We find no such effect from losses of non-counterparties, nor from counterparties to whom the bank has sold …