Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has …

value), the magnitude of default contagion, the price impact of pre- dation, and the disciplinary mechanism inherent in the …

-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being …Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …'s default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS … market from a macro-prudential perspective. Developments in the European sovereign CDS market are a part of the major …

This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first … contagion dominated in the US and European banking systems at the onset of the Subprime Crisis. The second essay (Döring … international stock market contagion investigating pre-and post-event cross-market correlation on national and international stock …

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …