Peltonen, Tuomas A.; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of Financial Stability 13 (2014) C, pp. 118-133
This paper analyses the network structure of the credit default swap (CDS) market and its determinants, using a unique dataset of bilateral notional exposures on 642 financial and sovereign reference entities. We find that the CDS network is centred around 14 major dealers, exhibits a “small...