Contagion in the CDS Market

Sriram Rajan
Sriram Rajan

Social Science Research Network, 2016.

Cited by: 0|Bibtex|Views0|DOI:https://doi.org/10.2139/ssrn.2880927
Other Links: academic.microsoft.com

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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