Two recent studies have found that the prices at which CDS auctions clear tend to differ substantially from both pre- and post-auction prices of the underlying bonds in the market. IN particular, CDS "sell" auctions appear to result in systematics underpricing, and CDS "buy" auctions in...

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced. An institution’s contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is...