Open AccessDefault Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks
Author(s) -
Steffen Schuldenzucker,
Sven Seuken,
Stefano Battiston
Publication year - 2019
Publication title -
management science
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.2019.3304
Subject(s) - clearing , credit default swap , ambiguity , systemic risk , business , debt , credit derivative , default , credit risk , finance , actuarial science , economics , computer science , financial crisis , macroeconomics , programming language
We study financial networks and reveal a new kind of systemic risk arising from what we call default ambiguity—that is, a situation where it is impossible to decide which banks are in default. Spec...
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