Cross-border credit derivatives linkages
Benedetta Bianchi ()
No 115, ESRB Working Paper Series from European Systemic Risk Board
This paper is a first attempt to include credit derivatives in international macro-financial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held. JEL Classification: F34, F21
Keywords: CDS; cross-border positions; EMIR data; risk transfer (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:2021115
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