Contagion in the CDS market
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 Reserve's Comprehensive Capital Analys...
| Main Authors: | , , |
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| Format: | Working paper |
| Published: |
University of Oxford
2017
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