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Central Counterparty Default Waterfalls and Systemic Loss

Paddrik, Mark E. - 2020

allocating resources to cover defaults of clearing members and clients. However, central counterparties face competing objectives … central clearing, using a unique and comprehensive dataset containing all U.S. cleared and bilateral credit default swap … system, the presence of client clearing obligations for members, and the distribution of losses among market participants …

Persistent link: https://www.econbiz.de/10012830165

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

What Does the CDS Market Imply for a U.S. Default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

cheapening of deliverable Treasury collateral to CDS contracts. We infer the likelihood of a U.S. default from these CDS premiums …

Persistent link: https://www.econbiz.de/10014355266

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

in part to the cheapening of deliverable Treasury collateral to CDS contracts. …

Persistent link: https://www.econbiz.de/10014249852

What Does the CDS Market Imply for a U.S. Default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

We document the sharp increase in trading activity, gross and net notional outstanding, and overall premiums in the U.S. credit default swaps (CDS) market that took place during the 2023 debt ceiling episode. Unlike the periods leading up to the 2011 and 2013 debt ceiling events, we show that in...

Persistent link: https://www.econbiz.de/10014350983

The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025 - This draft: May 27, 2025

We examine the 2025 U.S. debt limit episode through the lens of financial markets. First, we document an increase in trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that default risk reached 1% by the November 6 Presidential...

Persistent link: https://www.econbiz.de/10015407927

A dynamic model of central counterparty risk

Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10011970904

What do central counterparty default funds really cover? : a network-based stress test answer

Poce, Giulia; Cimini, Giulio; Gabrielli, Andrea; … - In: The journal of network theory in finance 4 (2018) 4, pp. 42-57

Persistent link: https://www.econbiz.de/10012005467

The end of the waterfall : default resources of central counterparties

Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389

Persistent link: https://www.econbiz.de/10011531210

Central counterparties : magic relighting candles?

Turing, Dermot - In: The journal of financial market infrastructures 8 (2019) 1, pp. 27-49

Persistent link: https://www.econbiz.de/10012373184