Counterparty risk and contract volumes in the credit default swap market

Nicholas Vause

BIS Quarterly Review, 2010

Abstract: After more than a decade of rapid growth, the volume of outstanding credit default swaps peaked at almost $60 trillion at the end of 2007. Since then it has nearly halved, while turnover has continued to rise. The decline in volumes outstanding reflects intensified efforts to reduce counterparty risk, which have eliminated more than $65 trillion of offsetting positions.

JEL-codes: G23 G28 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (16)

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