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Financial Stability Paper No 25: The structure and dynamics of the UK CDS market

Evangelos Benos (), Anne Wetherilt and Filip Zikes
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Filip Zikes: Bank of England, Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH

No 25, Bank of England Financial Stability Papers from Bank of England

Abstract: Over-the-counter derivatives (OTCDs) have been at the centre of regulators' and policymakers' attention owing to widespread concerns that these markets contributed to the build-up of systemic risk in the 2007/08 financial crisis. In 2009 the G20 initiated a reform programme that aims to increase transparency and reduce systemic risk in these markets. This paper analyses the structure and dynamics in one segment of the OTCD market, namely the UK single-name credit default swap (CDS) market. For our analysis, we use transaction reports warehoused in the trade repository operated by the Depository Trust & Clearing Corporation (DTCC). The data span the time between January 2007 and December 2011 which enables us to take a close look at market activity during the financial crisis.

Keywords: financial regulation; derivatives (search for similar items in EconPapers)
JEL-codes: G01 G28 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2013-11-08
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