Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular … concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral … strength. Some observers have suggested that credit default swaps would not have made the crisis worse had they been traded on …

, and economywide default events explains virtually all of the time-series and crosssectional variation in CDX index tranche … 1.2, 41.5, and 763 years, respectively. On average, 65 percent of the CDX spread is due to firm-specific default risk …, 27 percent to clustered industry or sector default risk, and 8 percent to catastrophic or systemic default risk. Recently …

unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of … number of occasionally binding constraints. The interactions between these constraints - in particular leverage and liquidity …. If the liquidity constraint is very tight, the leverage constraint may turn slack. In this case, there are large declines …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

This paper studies a competitive general equilibrium model with default and endogenous collateralized contracts. The … possibility of trade in spot markets creates externalities, as spot prices and the bindingness of collateral constraints interact … prices used to unwind collateral, over and above contracting on true underlying states of the world, then standard existence …

into a system with significant amounts of wholesale short-term debt that relies on collateral, and in particular Treasuries …, which have a convenience yield. In the new economy the quality of collateral matters: when Treasuries are scarce, the … Treasuries is high, a financial crisis is more likely. The central bank's open market operations affect the quality of collateral …

Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation … for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond … to large credit events. Model calibrations suggest that while contagion risk premia may be sizable, jump-to-default risk …

event of default, the creditors can seize the collateral. We assume that there is a small cost of liquidating the assets …. The debt capacity of the assets (the maximum amount that can be borrowed using the assets as collateral) depends on the …