paper aims to provide a first overview of the use of credit default swaps by EU UCITS funds. We show that UCITS funds only … account for a small share of the overall EU credit derivatives market. The CDS market is highly concentrated, with thirteen …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … default chain scenarios for major participants in the CDS market; again, following the literature on interbank networks, we …

This paper documents the use of derivatives by securitisation special purpose entities (SPEs), also known as financial … Infrastructure Regulation. We show that these entities primarily engaged in interest rate derivatives over the period of 2015 …

derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates …

counterparty credit risk in derivatives markets. I perform an empirical study of the incentives for voluntary central clearing of … significant amount of clearing happens only for credit and interest rate derivatives, while equity, foreign exchange, and … commodity derivatives are rarely centrally cleared. The results validate theoretical literature, and guide future modeling of …