BoE paper maps contagion via CDS market

The Bank of England. Photo: Shutterstock

A team of economists has designed a network model where the creditworthiness of one bank impacts others via the credit default swap (CDS) market. Their results were published in a Bank of England (BoE) staff working paper on January 20.

Michalis Vasios of the BoE, Filip Zikes of the Federal Reserve, and Alan Morrison and Mungo Wilson of Oxford University use their mechanism to study contagion in a banking system.

If bank A has bought protection from bank B against the default of firm X, when B's

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: