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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
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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
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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
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Central clearing for credit default swaps : a legal analysis of the new central clearing regulations in Europe and the US
Cerulus, Stan - In: Journal of financial regulation and compliance : an … 20 (2012) 2, pp. 212-244
Persistent link: https://www.econbiz.de/10009616477
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Central Clearing for Credit Default Swaps - Efforts in the EU and the US to Combat Systemic Risk Through Regulation
Cerulus, Stan - 2012
Persistent link: https://www.econbiz.de/10013098174
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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Reference guide to U.S. repo and securities lending markets
Baklanova, Viktoria; Copeland, Adam; McCaughrin, Rebecca - 2015
This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, and then describes the market landscape, the role of the participants, and other characteristics, including how repo and securities lending...
Persistent link: https://www.econbiz.de/10011338829
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Repo and securities lending
Adrian, Tobias; Begalle, Brian; Copeland, Adam; Martin, … - 2011
trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty. -- systemic …
Persistent link: https://www.econbiz.de/10009411379
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Reference Guide to U.S. Repo and Securities Lending Markets
Baklanova, Viktoria - 2015
This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, and then describes the market landscape, the role of the participants, and other characteristics, including how repo and securities lending...
Persistent link: https://www.econbiz.de/10013014935