Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
Author:
Affiliation:
1. Columbia Business School, New York, New York 10027;
2. Office of Financial Research, U.S. Department of the Treasury, Washington, DC 20220;
3. Federal Reserve Board, Washington, DC 20551
Abstract
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2023.4870
Reference27 articles.
1. The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk
2. Counterparty credit risk and the credit default swap market
3. Augustin P, Subrahmanyam MG, Tang DY, Wang SQ (2014) Credit default swaps: A survey. Foundations Trends Finance 9(1–2):1–196.
4. The Volcker Rule and corporate bond market making in times of stress
5. DTSSM (Duration Times Spread)
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