BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Safe-Haven CDS Premiums - David Lando\, Professor of Finance\, Cop
 enhagen Business School
DTSTART:20161124T130000Z
DTEND:20161124T140000Z
UID:TALK66348@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:(joint with Sven Klingler)\n\nAbstract\nWe develop a model in 
 which a derivatives-dealing bank faces capital charges from uncollateraliz
 ed swap positions with sovereigns\, and buys Credit Default Swap (CDS) con
 tracts to obtain capital relief. CDS premiums depend on margin requirement
 s for buyers and sellers of CDS contracts\, the value of capital relief fo
 r the dealer banks\, and the return on a risky asset. We explain the regul
 atory 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 ar
 e primarily driven by regulatory requirements.\n
LOCATION:Castle Teaching Room
END:VEVENT
END:VCALENDAR