Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
利用单名信用违约互换交易的保密数据，研究发现交易对手风险对定价影响较小，但对交易对手选择影响显著，尤其对不可中央清算的合约。
We investigate how market participants price and manage counterparty credit risk using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts but a large impact on the choice of counterparties. For contracts ineligible for central clearing, we show that market participants are significantly less likely to trade with counterparties whose credit risk is highly correlated with the credit risk of the reference entities and with counterparties whose credit quality is low. For clearable contracts, we find that nondealers are more likely to clear during a crisis and less likely to clear when the reference entity is a large U.S. dealer or a sovereign. This paper was accepted by Kay Giesecke, finance. Supplemental Material: The internet appendix and data are available at https://doi.org/10.1287/mnsc.2023.4870 .