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.

For further information, please visit:

http://www.econ.sdu.edu.cn/page-content-id-76651.html