The OFR released a working paper today entitled, "Contagion in the CDS Market." This paper assesses the risk of contagion in the credit default swap (CDS) market. This risk emerges through the inability of CDS counterparties to make payments during systemic stress. The authors find that the central counterparty contributes significantly less to network contagion than do several peripheral firms that are large net sellers of CDS protection.
The paper is posted on the OFR website at: https://financialresearch.gov/working-papers/.
The OFR home page is at: https://financialresearch.gov/.
