Counterparty credit risk and the credit default swap market

被引：137

作者：

Arora, Navneet ^{[2
]}

Gandhi, Priyank ^{[1
]}

Longstaff, Francis A. ^{[1
,3
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA

[2] Amer Century Investments, Kansas City, MO USA

[3] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 103卷 / 02期

关键词：

Counterparty credit risk; Credit default swaps; Collateralization;

D O I：

10.1016/j.jfineco.2011.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same underlying firm. This unique cross-sectional data set allows us to identify directly how dealers' credit risk affects the prices of these controversial credit derivatives. We find that counterparty credit risk is priced in the CDS market. The magnitude of the effect, however, is vanishingly small and is consistent with a market structure in which participants require collateralization of swap liabilities by counterparties. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：280 / 293

页数：14

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