Cross-border credit derivatives linkages

Arbeitspapier

This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held.

Object Details

• ISBN: 978-92-899-4618-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ESRB Working Paper Series ; No. 115

Classification and Topics

• Classification: Wirtschaft ; International Lending and Debt Problems ; International Investment; Long-term Capital Movements
• Subject: Cross-border positions ; Risk transfer ; CDS ; EMIR data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bianch, Benedetta
• Event: Veröffentlichung
• (who): European Systemic Risk Board (ESRB), European System of Financial Supervision
• (where): Frankfurt a. M.
• (when): 2021

Further information

• DOI: doi:10.2866/322632
• Handle: http://hdl.handle.net/10419/244267
• Last update: 10.03.2025, 11:44 AM CET