Du, Wenxin
[VerfasserIn]
;
Gadgil, Salil
[Sonstige Person, Familie und Körperschaft];
Gordy, Michael B.
[Sonstige Person, Familie und Körperschaft];
Vega, Clara
[Sonstige Person, Familie und Körperschaft]
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 28, 2019 erstellt
Beschreibung:
We investigate how market participants price and manage counterparty credit risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a large impact on the choice of counterparties. We show that market participants are significantly less likely to trade with counterparties whose credit risk is highly correlated with the credit risk of the reference entities and with counterparties whose credit quality is low. Our results suggest that credit rationing may arise under wider circumstances than previously recognized