Speaker:Yalin Guenduez, Deutsche Bundesbank
Date:June 15, 2015
Time:2:00 p.m.
Location:Room B423, Zhixin Building, Central Campus
Sponsor:the School of Economics
Abstract:By making use of the proprietary DTCC dataset, this paper looks at counterparty risk taking activity on a granular level. Specifically, we test whether banks in our sample purchase credit default protection of their counterparties themselves, after purchasing protection from them on any underlying reference entity. Our results indicate a significant mitigation activity, but on a low magnitude possibly due to high degree of collateralization in the CDS market. Moreover, dealer banks manage their counterparty risk more continuously then non-dealer banks, who typically manage under longer rolling periods.
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