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The Long and Short of It: The Post-Crisis Corporate CDS Market

Nina Boyarchenko, Anna Costello and Or Shachar

No 879, Staff Reports from Federal Reserve Bank of New York

Abstract: 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.

Keywords: CDS positions; CDS transactions; dealer market power (search for similar items in EconPapers)
JEL-codes: G10 G12 G19 (search for similar items in EconPapers)
Date: 2019-02-01
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (4)

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Journal Article: The Long and Short of It: The Post-Crisis Corporate CDS Market (2020) Downloads
Working Paper: The Long and Short of It: The Post-Crisis Corporate CDS Market (2019) Downloads
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