Contagion in the CDS Market
Social Science Research Network, 2016.
Abstract:
Abstract This paper analyzes counterparty exposures in the credit default swaps market and examines the impact of severe credit shocks on the demand for variation margin, which are the payments that counterparties make to offset price changes. We employ the Federal Reserveu0027s Comprehensive Capital Analysis and Review (CCAR) shocks and ...More
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