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Credit default swaps and counterparty risk
August 2009
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- CONTENTS
- 1 EXECUTIVE SUMMARY
- 2 INTRODUCTION
- + 3 CDS MARKET OVERVIEW
- + 4 COUNTERPARTY RISK AND ISSUES FOR FINANCIAL STABILITY
- + 5 COUNTERPARTY RISK MANAGEMENT
- + 6 CDSs AND THE CREDIT CYCLE
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+
7 REGULATORY AND MARKET INITIATIVES
- Box 14 US TREASURY PROPOSALS FOR A REGULATORY FRAMEWORK FOR OTC DERIVATIVES
- + 7.1 CDS CENTRAL COUNTERPARTY CLEARING
- 7.2 BILATERAL COUNTERPARTY RISK MANAGEMENT
- 7.3 OPERATIONAL RISK
- + 7.4 CDS CONTRACT CHANGES
- + 7.5 MARKET DEVELOPMENTS: IMPACT OF CDS CONTRACT CHANGES
- 7.6 MARKET INTEGRITY
- 7.7 CAPITAL REQUIREMENTS
- + 7.8 CONCLUSIONS
This report has benefited greatly from the availability of a unique set of data, in particular data made available by 31 of the largest European fi nancial institutions in response to an ad hoc qualitative and quantitative survey. Drawing on these data, the report sets out four main features of the CDS market in the EU that deserve attention for fi nancial stability purposes. The report also provides an overview of a number of regulatory and market initiatives that are under way with a view to addressing these weaknesses, including details of the latest EU consultation for OTC derivatives (including CDSs), and reviews the various initiatives to establish central counterparty clearing houses (CCPs) for CDSs.
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Publication year : 2009
License: All rights reserved ©
Times read: 58
