Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244267 
Year of Publication: 
2021
Series/Report no.: 
ESRB Working Paper Series No. 115
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held.
Subjects: 
Cross-border positions
Risk transfer
CDS
EMIR data
JEL: 
F34
F21
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4618-6
Document Type: 
Working Paper

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