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Federal Reserve Bank of New York
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The long and short of it: the post-crisis corporate CDS market
Nina Boyarchenko
Anna M. Costello
Or Shachar
Abstract

The 2007-09 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market in the post-crisis period, document the properties of participants’ exposures to corporate CDS over time, and study the differential pricing of transactions between different types of counterparties.


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Nina Boyarchenko & Anna M. Costello & Or Shachar, The long and short of it: the post-crisis corporate CDS market, Federal Reserve Bank of New York, Staff Reports 879, 01 Feb 2019.
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Keywords: CDS positions; CDS transactions; dealer market power
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