The Credit Default Swap Market: What a Difference a Decade Makes
Year: 2018
Type: article
Abstract: Over the last decade, the size and structure of the global credit default swap (CDS) market have changed markedly. With the help of the BIS derivatives statistics, we document how outstanding amounts have fallen, central clearing has risen and the composition of underlying credit risk exposures has evolved. Netting of CDS contracts has increased, due to the combination of a higher share of standardised index products and the clearing of such contracts via central counterparties. In turn, this has led to a further reduction in counterparty risk. Underlying credit risks have shifted towards sovereigns and portfolios of reference securities with better credit ratings. The distribution of credit risks across counterparty categories has remained broadly unchanged.
Authors: Iñaki Aldasoro, Torsten Ehlers
Institution: Bank for International Settlements
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2900439828