derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies … during extreme market events, for traders with directional portfolios, and because CCPs mutualize default losses. Our results …

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 …

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 …

derivatives markets, and highlight that recent central clearing reforms might not incentivize market participants to clear … derivatives. …

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …