Counterparty Credit Risk and the Credit Default Swap Market

By N. Arora, P. Gandhi, Francis A. Longstaff. 2012

339 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/48f9edea01ce39dea6a038e08f290049436a4d5e

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Citations in the corpus

Shedding Light on Dark Markets: First Insights from the New Eu-Wide OTC Derivatives Dataset (2016, background): “Credit default swaps transfer both underlying (fundamental) credit risk and expose participants to counterparty risk (Duffie and Huang, 1996; Arora et al, 2012).”
Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis (2013, neutral): “9 The use of the dealers’ CDS spreads as a proxy of counterparty risk is based on the Arora et al. (2009) study, which analyses the existence of counterparty risk in the corporate CDS market.”
The Network Structure of the CDS Market and its Determinants (2014, background): “The pricing of counterparty risk on the CDS market has been documented by Arora et al. (2012).”
Credit Default Swap Spreads and Systemic Financial Risk (2012, background): “For example, Arora et al. (2012) study the cross-section of CDS prices across counterparties under the assumption that given a reference entity i, counterparty risk of i with each counterparty j is captured by P (Aj), not by P (Ai \ Aj) as the theory would predict.10 From equation (2) we also see…”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, background): “Arora et al. (2010) find that counterparty credit risk is priced but that its magnitude is small.”
Credit Default Swaps: A Survey (2014, background): “Finally, Arora et al. [2014] show that CDS spreads are higher for firms with more uncertain asset values. A comprehensive review on CDSrelated research in accounting is provided by Griffin [2014]. Information quality is arguably better for public than for private firms. However, Kovner and Wei [2014”
Deviations from Covered Interest Rate Parity (2018, neutral): “In ongoing work, Avdjiev et al. (2016) study the relationship between the strength of the dollar spot exchange rate and CIP deviations.”
Central Clearing and Collateral Demand (2015, neutral): “Empirical evidence on the pricing of counterparty risk on the CDS market have been provided by Arora et al. (2012).”
Central clearing of OTC derivatives: Bilateral vs multilateral netting (2013, background): “Arora et al. (2012) find evidence of counterparty risk in the interdealer CDS markets.”
The Term Structure of Interbank Risk (2012, neutral): “While CDS spreads also could be affected by counterparty risk, Arora, Gandhi, and Longstaff (2012) find that this effect is minimal, which is consistent with the widespread use of collateralization and netting agreements. a positive relation between the submitted rates and banks' own default risk,…”
The TIPS-treasury bond puzzle (2014, background): “This raises the issue of how inflation swap contracts might be affected by the credit risk of inflation swap dealers in the 22 market.23 In a recent paper, Arora, Gandhi, and Longstaff (2012) study the effect of counterparty credit risk on the pricing of CDS contracts.”