themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among … counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow … counterparties: i) Ultimate Risk Sellers (URS), ii) Dealers (indirectly connected to each other), iii) Ultimate Risk Buyers (URB). We …

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among … counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow … counterparties: i) Ultimate Risk Sellers (URS), ii) Dealers (indirectly connected to each other), iii) Ultimate Risk Buyers (URB). We …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … allocation to risk management. This implies that some policy issues are not necessarily and exclusively related to the CDS market …

We present a network model for investigating the impact on systemic risk of central clearing of over the counter (OTC …

systemic risk. Equity capital acts as a buffer against losses, and reduces incentives for excessive risk taking. Basel capital … lower capital requirements resulting in excessive risk taking. Furthermore, the bank and the CDS seller (insurer) prefer … high correlation in their returns and jointly shift the risk to the regulator. CDS can be traded at a price higher than its …

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns … measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise … which were most effective in reducing systemic risk. In comparison, we find that the effect of policy interventions was …

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns … measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise … which were most effective in reducing systemic risk. In comparison, we find that the effect of policy interventions was …