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SUMMARY:Safe-Haven CDS Premiums
DTSTART:20160926T140000
DTEND:20160926T150000
DTSTAMP:20260501T073459Z
UID:bbe26a12524bd6038c1dc2a063e8ed931d153908b8303da93d3698a5
CATEGORIES:Conferences - Seminars
DESCRIPTION:David LANDO (Copenhagen Business School)\nWe develop a model i
 n which a derivatives dealer bank faces capital charges arising from uncol
 lateralized swap positions\, and buys  Credit Default Swap (CDS) contract
 s from end users to obtain capital relief. The equilibrium CDS premium dep
 ends on the margin requirements for buyers and sellers of CDS contracts\, 
 the value of capital relief for the dealer bank\, and the risk and return 
 profile of a risky asset that is held both by the derivatives dealer and t
 he end user.  We explain the mechanics of the regulatory requirements tha
 t drive derivatives dealers to buy CDS in order to obtain capital relief. 
 We use the details of the regulation to  translate statistics on  the vo
 lumes of derivatives contracts outstanding into a CDS hedging demand arisi
 ng from these positions.  Using CDS data on several sovereigns\, we argue
  that CDS premiums for safe-haven sovereigns\, like Germany and the United
  States\, are likely driven more by regulatory requirements than by credit
  risk.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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