The credit default swap market and the settlement of large defaults (notice n° 594032)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02954cam a2200277 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121150733.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Coudert, Virginie |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | The credit default swap market and the settlement of large defaults |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2011.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 54 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | RésuméL’ampleur des positions prises sur le marché des swaps de défaut de crédit (CDS) a soulevé des inquiétudes sur la capacité du marché à régler les défauts lorsque ceux-ci concernent de très gros emprunteurs. La quasi-faillite de AIG et la faillite avérée de Lehman Brothers en 2008 ont révélé l’exposition des acheteurs de CDS au risque de contrepartie et mis en évidence la nécessité d’organiser le marché, ce qui a déclenché un processus de réformes. Premièrement, nous analysons les vulnérabilités du marché au moment de l’éclatement de la crise. Deuxièmement, pour comprendre sa résilience malgré des faillites majeures, nous analysons le processus d’enchères qui a permis de régler ces défauts, les stratégies des acheteurs et des vendeurs, ainsi que le lien avec le marché des obligations. Nous étudions ensuite la façon dont ces enchères ont précisément fonctionné dans le cas de défauts majeurs, tels que Lehman Brothers, Washington Mutual, CIT et Thomson, ainsi que pour Fannie Mae et Freddie Mac. Troisièmement, nous analysons le processus de réformes en cours.Classification JEL : D44 ; G01 ; G15 ; G33. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The huge positions on the credit default swaps (CDS) have raised concerns about the ability of the market to settle major entities’ defaults. The near-failure of AIG and the bankruptcy of Lehman Brothers in 2008 have revealed the exposure of CDS’s buyers to counterparty risk and hence highlighted the necessity of organizing the market, which triggered a large reform process. First we analyse the vulnerabilities of the market at the bursting of this crisis. Second, we unravel the auction process implemented to settle defaults, the strategies of buyers and sellers and the links with the bond market. We then study the way it worked for key defaults, such as Lehman Brothers, Washington Mutual, CIT and Thomson, as well as for the Government Sponsored Enterprises, which reveals some oddities in the final prices. Third, we discuss the ongoing reforms aimed at strengthening the market resilience. JEL Classification: D44; G01; G15; G33. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | swaps de défaut de crédit |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | enchères |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | dérives de crédit |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | banqueroute |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | credit derivatives |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | bankruptcy |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | credit default swap |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | auction |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Gex, Mathieu |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Économie internationale | 123 | 3 | 2011-10-04 | p. 91-120 | 1240-8093 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economie-internationale-2010-3-page-91?lang=fr&redirect-ssocas=7080">https://shs.cairn.info/revue-economie-internationale-2010-3-page-91?lang=fr&redirect-ssocas=7080</a> |
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