Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/boe/finsta/0025.html
   My bibliography  Save this paper

Financial Stability Paper No 25: The structure and dynamics of the UK CDS market

Author

Listed:
  • Benos, Evangelos

    (Bank of England)

  • Wetherilt, Anne

    (Bank of England)

  • Zikes, Filip

    (Bank of England)

Abstract
Over-the-counter derivatives (OTCDs) have been at the centre of regulators' and policymakers' attention owing to widespread concerns that these markets contributed to the build-up of systemic risk in the 2007/08 financial crisis. In 2009 the G20 initiated a reform programme that aims to increase transparency and reduce systemic risk in these markets. This paper analyses the structure and dynamics in one segment of the OTCD market, namely the UK single-name credit default swap (CDS) market. For our analysis, we use transaction reports warehoused in the trade repository operated by the Depository Trust & Clearing Corporation (DTCC). The data span the time between January 2007 and December 2011 which enables us to take a close look at market activity during the financial crisis.

Suggested Citation

  • Benos, Evangelos & Wetherilt, Anne & Zikes, Filip, 2013. "Financial Stability Paper No 25: The structure and dynamics of the UK CDS market," Bank of England Financial Stability Papers 25, Bank of England.
    • Handle: RePEc:boe:finsta:0025
    Note: http://www.bankofengland.co.uk/financialstability/Pages/fpc/fspapers/fs_paper25.aspx
    as

    Download full text from publisher

    File URL: https://www.bankofengland.co.uk/-/media/boe/files/financial-stability-paper/2013/the-structure-and-dynamics-of-the-uk-cds-market.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012. "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, vol. 103(2), pages 280-293.
    2. Duffie, Darrell & Li, Ada & Lubke, Theo, 2010. "Policy Perspectives on OTC Derivatives Market Infrastructure," Research Papers 2046, Stanford University, Graduate School of Business.
    3. Acharya, Viral V. & Johnson, Timothy C., 2007. "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, vol. 84(1), pages 110-141, April.
    4. Paul Klemperer, 2004. "Auctions: Theory and Practice," Online economics textbooks, SUNY-Oswego, Department of Economics, number auction1.
    5. Smyth, Nick & Wetherilt, Anne, 2011. "Trading models and liquidity provision in OTC derivatives markets," Bank of England Quarterly Bulletin, Bank of England, vol. 51(4), pages 331-340.
    6. Theo Lubke & Ada Li & Darrell Duffie, 2010. "Policy perspectives on OTC derivatives market infrastructure," Staff Reports 424, Federal Reserve Bank of New York.
    7. Joshua Slive & Jonathan Witmer & Elizabeth Woodman, 2012. "Liquidity and Central Clearing: Evidence from the CDS Market," Staff Working Papers 12-38, Bank of Canada.
    8. Paul Klemperer, 2004. "Auctions: Theory and Practice," Online economics textbooks, SUNY-Oswego, Department of Economics, number auction1.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Olga Cielinska & Andreas Joseph & Ujwal Shreyas & John Tanner & Michalis Vasios, 2017. "Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    2. Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015. "Central clearing and collateral demand," Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256.
    3. D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018. "How does risk flow in the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
    4. Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
    5. Anand, Kartik & van Lelyveld, Iman & Banai, Ádám & Friedrich, Soeren & Garratt, Rodney & Hałaj, Grzegorz & Fique, Jose & Hansen, Ib & Jaramillo, Serafín Martínez & Lee, Hwayun & Molina-Borboa, José Lu, 2018. "The missing links: A global study on uncovering financial network structures from partial data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 107-119.
    6. Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2020. "Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 159-192, February.
    7. Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
    8. Rahman, Arshadur, 2015. "Over-the-counter (OTC) derivatives, central clearing and financial stability," Bank of England Quarterly Bulletin, Bank of England, vol. 55(3), pages 283-294.
    9. Filip Zikes, 2017. "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series 2017-045, Board of Governors of the Federal Reserve System (U.S.).
    10. Morrison, Alan & Vasios, Michalis & Wilson, Mungo & Zikes, Filip, 2017. "Identifying contagion in a banking network," Bank of England working papers 642, Bank of England.
    11. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    12. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    13. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
    14. Joseph, Andreas & Vasios, Michalis & Maizels, Olga & Shreyas, Ujwal & Tanner, John, 2019. "OTC microstructure in a period of stress: a multi‑layered network approach," Bank of England working papers 832, Bank of England.
    15. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers tel-03507099, HAL.
    16. Jamal Bouoiyour & Refk Selmi, 2018. "Brexit and CDS spillovers across UK and Europe," Working Papers hal-01736525, HAL.
    17. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    18. Marco D'Errico & Tarik Roukny, 2017. "Compressing Over-the-Counter Markets," Papers 1705.07155, arXiv.org, revised Jun 2019.
    19. D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
    20. Bholat, David, 2015. "Big data and central banks," Bank of England Quarterly Bulletin, Bank of England, vol. 55(1), pages 86-93.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arnold, M., 2017. "The impact of central clearing on banks’ lending discipline," Journal of Financial Markets, Elsevier, vol. 36(C), pages 91-114.
    2. Chatterjee, Rittwik & Chattopadhyay, Srobonti, 2015. "Competition and Auctioning Licenses," MPRA Paper 67086, University Library of Munich, Germany.
    3. Scott Duke Kominers & Alexander Teytelboym & Vincent P Crawford, 2017. "An invitation to market design," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 33(4), pages 541-571.
    4. Drabik Ewa, 2013. "Several Remarks on Banach–Mazur Games and its Applications Ewa Drabik," Foundations of Management, Sciendo, vol. 5(1), pages 21-25, June.
    5. B Kelsey Jack, 2009. "Auctioning Conservation Contracts in Indonesia - Participant Learning in Multiple Trial Rounds," CID Working Papers 35, Center for International Development at Harvard University.
    6. Alessandra Casella & Adam B. Cox, 2018. "A Property Rights Approach to Temporary Work Visas," The Journal of Legal Studies, University of Chicago Press, vol. 47(S1), pages 195-227.
    7. Soumyakanti Chakraborty & Anup K. Sen & Amitava Bagchi, 2015. "Addressing the valuation problem in multi-round combinatorial auctions," Information Systems Frontiers, Springer, vol. 17(5), pages 1145-1160, October.
    8. Popkowski Leszczyc, Peter T.L. & Qiu, Chun & He, Yongfu, 2009. "Empirical Testing of the Reference-Price Effect of Buy-Now Prices in Internet Auctions," Journal of Retailing, Elsevier, vol. 85(2), pages 211-221.
    9. A. Talman & Zaifu Yang, 2015. "An efficient multi-item dynamic auction with budget constrained bidders," International Journal of Game Theory, Springer;Game Theory Society, vol. 44(3), pages 769-784, August.
    10. Yu Zhou & Shigehiro Serizawa, 2019. "Minimum price equilibrium in the assignment market," ISER Discussion Paper 1047, Institute of Social and Economic Research, Osaka University.
    11. Comerford, Emma & Binney, Jim, 2006. "Lessons learned from the Queensland Vegetation Incentives Program - applying auction theory to vegetation protection," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 174101, Australian Agricultural and Resource Economics Society.
    12. Philip Brookins & Dmitry Ryvkin, 2014. "An experimental study of bidding in contests of incomplete information," Experimental Economics, Springer;Economic Science Association, vol. 17(2), pages 245-261, June.
    13. van der Laan, G. & Talman, Dolf & Yang, Z., 2018. "Equilibrium in the Assignment Market under Budget Constraints," Discussion Paper 2018-046, Tilburg University, Center for Economic Research.
    14. Jonathan Levin & Andrzej Skrzypacz, 2016. "Properties of the Combinatorial Clock Auction," American Economic Review, American Economic Association, vol. 106(9), pages 2528-2551, September.
    15. Brânzei, R. & Fragnelli, V. & Meca, A. & Tijs, S.H., 2006. "Two Classes of Cooperative Games Related to One-Object Auction Situations," Discussion Paper 2006-25, Tilburg University, Center for Economic Research.
    16. Wilson William W. & Dahl Bruce L., 2005. "Railcar Auctions for Grain Shipments: A Strategic Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 3(2), pages 1-29, April.
    17. Ganuza, Juan José & Viecens, María Fernanda, 2011. "Deployment of high-speed broadband infrastructures during the economic crisis. The case of Xarxa Oberta," Telecommunications Policy, Elsevier, vol. 35(9), pages 857-870.
    18. Sven-Olof Fridolfsson and Thomas P. Tangeras, 2015. "Nuclear Capacity Auctions," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    19. Ralph-Christopher Bayer, 2016. "A Primer on Auction Design, Management, and Strategy , by David J. Salant ( MIT Press , Cambridge, London , 2014 ), pp. 184 ," The Economic Record, The Economic Society of Australia, vol. 92(298), pages 507-508, September.
    20. Eric Budish & Judd B. Kessler, 2022. "Can Market Participants Report Their Preferences Accurately (Enough)?," Management Science, INFORMS, vol. 68(2), pages 1107-1130, February.

    More about this item

    Keywords

    financial regulation; derivatives;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:finsta:0025. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Media Team (email available below). General contact details of provider: https://edirc.repec.org/data/boegvuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.