Publication: Concentrated Capital Losses and the Pricing of Corporate Credit Risk - Online Appendix
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2015-07-21
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Siriwardane, Emil N. "Concentrated Capital Losses and the Pricing of Corporate Credit Risk - Online Appendix." Harvard Business School Working Paper, No. 16-008, July 2015.
Abstract
This is the online appendix to "Concentrated Capital Losses and the Pricing of Corporate Credit Risk". In this appendix, I provide additional stylized facts about the CDS market regarding: (i) the size of the market, (ii) the concentration of net buyers and sellers within each reference entity, (iii) the commonality of net buyers and sellers across reference entities, (iv) who purchases and sells protection, (v) the network structure of the CDS trading network, and (vi) the role of dealers in the CDS market. In addition, I discuss why the role of dealers as prime brokers does not impact the stylized facts and results presented throughout the paper.
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