This article develops a new theory of interconnected financial contracts. It focuses on a common type of interconnected contracting scenario, in which party A enters into a contract with B, and B enters into a separate contract with C. While A and C are not in privity of contract, their common...

In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...

We investigate how counterparty credit risk influences the prices of over-the-counter CDS contracts using confidential transaction level data for practically all Dutch trades. We confirm our prior of a significant negative relationship between the credit worthiness of the CDS seller and the...

Recent regulatory reforms like the mandatory clearing of standardized swap contracts and mandatory trading on centralized execution platforms have significantly changed the derivatives landscape. These reforms have, in certain cases, led the market to increasingly trade on multilateral...

We investigate how counterparty credit risk influences the prices of over-the-counter CDS contracts using confidential transaction level data for practically all Dutch trades. We confirm our prior of a significant negative relationship between the credit worthiness of the CDS seller and the...

We contribute to the emerging debate on the joint dynamics of the markets for Credit Default Swaps (CDSs) and the central clearing functions of Central Counterparties (CCPs) by using a unique dataset of 155 North American and 151 European corporate single name CDSs for the period from late 2009...

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding of the benefits and potential pitfalls with respect...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...