Interconnectedness and Systemic Risk in the US CDS Market
Interconnectedness and Systemic Risk in the US CDS Market
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DOI：
10.2139/ssrn.2711112
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发表时间：
2016-01
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影响因子：
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通讯作者：
Masayasu Kanno
中科院分区：
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作者：
Masayasu Kanno
本研究评估了美国信用违约互换（CDS）市场的系统性风险。雷曼兄弟破产后，市场引入了风险缓解工具，如中央清算和投资组合压缩，以及现有的净额结算和抵押。由于CDS通常作为场外衍生品交易，破产后不久，很少有合约通过中央清算，而在2015年上半年，这一比例增加到26%。首先，我们估计双边风险矩阵使用汇总的公允价值数据的呼叫报告由联邦存款保险公司（FDIC）和理论上分析在美国CDS网络的互联性使用各种网络措施。估计的双边矩阵的鲁棒性是完全保证敏感性分析使用的核心-外围模型和修改后的Jaccard指数。其次，我们引入Eisenberg和Noe框架，对违约传染性进行了理论分析。网络分析表明，过去三到六个经销商在网络中处于中心地位。违约分析表明，在全球金融危机期间，理论上发生了许多独立的违约和一个通过CDS网络传染的违约。基于假设的严重压力情景的压力测试预测未来几乎没有传染性违约。总之，通过CDS网络的风险传染是不太可能的。
This study assesses systemic risk in the US credit default swap (CDS) market. After the bankruptcy of Lehman Brothers, the market introduced risk mitigation tools, such as central clearing and portfolio compression in addition to existing netting and collateralization. Because CDSs typically have been traded as over-the-counter derivatives, just after the bankruptcy, few contracts were through central clearing, whereas in the first half of 2015, this share increased to 26%. First, we estimate the bilateral exposures matrix using aggregate fair value data on Call Reports by the Federal Deposit Insurance Corporation (FDIC) and theoretically analyze interconnectedness in the US CDS network using various network measures. The robustness of the estimated bilateral matrix is fully assured by sensitivity analysis using a core-periphery model and modified Jaccard index. Second, we theoretically analyze the contagious defaults introducing the Eisenberg and Noe framework. The network analysis shows that three to six dealers were central in the network in the past. The default analysis shows the theoretical occurrence of many stand-alone defaults and one contagious default via the CDS network during the global financial crisis. A stress test based on a hypothetical severe stress scenario predicts almost no future contagious defaults. To conclude, the risk contagion via the CDS network is unlikely.