University of Cambridge > Talks.cam > Cambridge Finance Workshop Series > Safe-Haven CDS Premiums

  Browse A-Z

Log in

University Account External (via Google)

🔐 Log In

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

ℹ️ Information

Safe-Haven CDS Premiums

Download to your calendar using vCal

If you have a question about this talk, please contact CERF/CF Admin .

(joint with Sven Klingler)

Abstract We develop a model in which a derivatives-dealing bank faces capital charges from uncollateralized swap positions with sovereigns, and buys Credit Default Swap (CDS) contracts to obtain capital relief. CDS premiums depend on margin requirements for buyers and sellers of CDS contracts, the value of capital relief for the dealer banks, and the return on a risky asset. We explain the regulatory requirements that lead derivatives dealers to buy CDS and translate volumes of derivatives contracts outstanding between sovereigns and banks into CDS hedging demand. We argue that CDS premiums for safe sovereigns are primarily driven by regulatory requirements.

This talk is part of the Cambridge Finance Workshop Series series.

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

Engineering Design Centre, Room TBA, Engineering Department Average on Saturdays: 7506.66666667 kWh tbc but within the Physiology building - https://www.pdn.cam.ac.uk/about-us/map-and-directions

Other talks

Synthesizing Diverse Policies for Multi-Agent Coordination Bigger Picture Talk: Developing future marine engines running on ammonia and other green fuels Title to be confirmed Talk TBC Theophilus Richmond’s The First Crossing: The Transition from Slavery to Indentureship in the Caribbean and the Case of the Black Slave on the Hesperus Christmas Social Evening & Annual General Meeting
 

© 2006-2025 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity