NY Fed paper scrutinises post-crisis CDS market
Little research has been done on the market at a “granular level”, authors say
A paper published by the Federal Reserve Bank of New York seeks to shed light on the evolution of the credit default swap market since the 2008 financial crisis.
Nina Boyarchenko, Anna Costello and Or Shachar say “little is known” about CDS exposures at the “granular level”. They aim to fill this gap by drawing on regulatory data reported to the Fed by the Depository Trust and Clearing Corporation, a firm that provides post-trade services.
The authors of the staff report reach five main
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