Federal Reserve Bank of New York
The Long and Short of It: The Post-Crisis Corporate CDS Market
We establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, we document that dealers become net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and through switching to buying protection in the index market. More generally, we argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions’ participation decisions and how these decisions affect prices in these markets.
Cite this item
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, revised 01 Aug 2019.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
Keywords: CDS positions; CDS transactions; dealer market power
This item with handle RePEc:fip:fednsr:879
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