A Look Under the Hood How Banks Use Credit Default Swaps

Cecilia R. Caglio, Matthew Darst and Eric Parolin
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Cecilia R. Caglio: https://www.federalreserve.gov/econres/cecilia-r-caglio.htm

No 2016-12-22-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This note uses a unique dataset that matches banks' securities and loan portfolios to bank credit derivative transactions to characterize the basic features of how the largest banks in the U.S. use the single name CDS market in their investment portfolios.

Date: 2016-12-22
New Economics Papers: this item is included in nep-ban and nep-rmg
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2016-12-22-1

DOI: 10.17016/2380-7172.1865

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