Background: The financial crisis of 2007-2010 had a massive impact on the financial markets worldwide. The crisis was partly blamed on the credit derivatives collateralized debt obligations and credit default swaps. These instruments were used to create leverage and speculation, which led to uncertainty in the financial system worldwide. There has been no recent documentation of how credit derivatives are used in Swedish banks, and what risks and opportunities they bring along. Purpose: The purpose of this thesis is to describe the use of credit derivatives in Swedish banks, what benefits and risks they may generate and how the recent financial crisis has affected their use. Research Method: This is a qualitative multiple case study which uses an inductive approach. The study covers four cases, three of the largest Swedish commercial banks, and a bank that specializes on international financing. Seven people working in different fields in these banks have been interviewed. Conclusions: Credit derivatives are mostly used for hedging in Swedish banks, which mainly involves the use of credit default swaps, and sometimes iTraxx. Purely speculative trades are rare. The risks that arise are mainly due to lack of transparency in OTC trading, and abusive use of these instruments. Credit derivatives greatly facilitate risk management in banks. Regulations have increased since the financial crisis and the demand for more complex products greatly decreased.

Dans sa première partie, cette thèse étudie l’utilisation optimale des produits dérivés par les intermédiaires financiers dans leur gestion du risque, en prêtant spécifiquement attention au marché des dérivés de taux d’intérêt. En modélisant la structure de capital optimale d’une banque, le premier chapitre montre comment l’usage optimal des dérivés affecte certaines décisions souvent étudiées en finance d’entreprise : l’offre de crédit, la transformation de maturité, la politique de dividendes ou les probabilités de défaut. La seconde partie de la thèse étudie au contraire le marché des dérivés comme un système à part entière. Le second chapitre utilise une base de données nouvelle et unique d’expositions bilatérales sur des contrats CDS afin d’offrir une description détaillée de la structure du réseau des expositions. Le troisième chapitre a pour objet la régulation des marchés de produits dérivés. Il étudie la compensation centrale des produits dérivés standardisés, et la demande de collatéral induite par cette réforme à l’échelle mondiale, sous une variété d’hypothèses concernant la microstructure du marché. / In its first part, this thesis studies the optimal use of derivatives contracts for risk management by financial intermediaries, focusing especially on interest rate derivative contracts. It models the optimal capital structure policy of a bank and shows how the optimal use of derivatives affects a number of oft-studied decisions in corporate finance: bank lending, maturity mismatching, payout policy or default probabilities. The second part of the thesis, in contrast, studies derivatives market as a system on its own. The second chapter uses a new and unique dataset of bilateral exposures to CDS contracts in order to provide a detailed description of the network structure of exposures. The third chapter focuses on the regulation of derivatives markets. It studies central clearing of standardized derivatives contracts and the collateral demand induced by the reform at a global scale, under a variety of hypotheses regarding the market microstructure.

原為避險目的而生之衍生性商品，因為金融創新，不僅交易規模擴大，交易對象也變得多元，甚至進一步成為部分投機者賺取高報酬之工具。依統計資料，透過店頭市場交易之衍生性商品，其名目價值遠高於在集中市場交易者，然店頭市場交易係由雙方自行協商交易條件，在欠缺相關揭露要求之情況下，市場透明度低，且欠缺有力之違約風險控管機制，兼之此市場中參與者間之高度關聯性，使得一旦有違約情況發生，影響層面往往波及當事人以外之眾多對象。 在金融危機過後，國際間開始檢討此次危機之成因，並研擬後續可能改革方向，針對店頭市場交易部分，則強調透過集中交易、集中結算以及交易資訊揭露等方式加強監管。美國為眾多戮力於金融改革之國家中較早通過具體條文者，2010年的改革法案將店頭衍生性交易納入規範，以集中結算為改革重點，並施加交易資訊申報公開、保證金、資本準備和部位限制等要求。儘管集中結算制度為改革關鍵，在法案中卻存在部分豁免規定，例如僅標準化衍生性商品須集中結算、外匯換匯及遠期外匯兩類衍生性商品可免集中結算、以及最終使用者所從事之交易亦可豁免等。 對於上述豁免規定，本文認為基於集中結算制度本身運作之前提，為結算之衍生性商品必須有一定之流動性及標準化，加上採行集中結算可能會增加之避險成本，因此美國改革法案中之例外為妥協後之結果。上述例外存在之本身，以及相關主管機關所提行政規則修正草案中存在之缺失，皆增加了藉以規避集中結算制度之可能性，而成為美國改革法案集中結算制度之潛在漏洞，無法防範店頭衍生性交易再度賈禍。觀察過去美國幾次重大金融改革，皆是在金融危機後大幅加強對市場之管制，然管制之必要性卻須待多年運行後才能獲致理性檢驗之機會。此次集中結算制度之改革然結果如何，仍需待實際於市場實施後才能準確評價。 / Because of financial innovation, the trading volume of derivatives increases and the market participants get varied. Derivatives, that were developed to hedge or mitigate risk, become one of the tools to speculate. According to statistics, the total nominal value of derivatives traded in the over-the-counter (OTC) market is much higher than that traded in the exchange. Because of the low market transparency, the lack of powerful risk mitigating mechanism and the high correlation among major market participants, default of one counterparty may cause systemic risk. After the global financial market meltdown in 2008, countries devoted attention to the causes of the financial crisis, especially to the OTC derivatives. To reduce the risk identified in the OTC derivatives market, trading on the exchange or electronic trading platform, central clearing and information disclosure are some measures to be implemented. The Dodd-Frank Act was the earliest reform act passed by the U.S. among these countries. Although central clearing is the major component of the act, there are also several exemptions of it. For example, non-standard derivatives, foreign exchange swaps, foreign exchange forwards and derivatives traded by end-user are exempted from central clearing requirement. To be central cleared, the OTC derivatives must be standardized and with certain liquidity. Once central cleared, companies would be unable to use customized derivatives to mitigate commercial risk and the cost of hedge would probability increases. These are some reasons mentioned to support the central clearing exemption. However, the existence of these exemptions may become the inherent loopholes of the act. This article would first introduce the central clearing exemptions and evaluate the possible effect these exemptions might cause.

By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. To combat these problems we set out to minimize the size and quantity of contracts by performing what is called a compression. We have looked into three different types of compression methods for interest rate swap contracts. One method is specialized for central clearing, Coupon Blending, and two methods for bilateral clearing, Closed Loops, and the Network Simplex Method. By using Monte Carlo Simulations, all three methods could be compared to one another to conclude the significant findings. The clear winner for centrally cleared contracts was Coupon Blending which could terminate over 92% of the contracts, and reduce the total absolute size of the contracts by over 75%. Network Simplex came in as a close second which could also reduce the total absolute size of the contracts by over 75% but only terminate 86%. Coupon Blending and Network Simplex, both had very similar accuracy in their compression. However, NetworkSimplex performed better at keeping the system’s total risk intact. For bilateral clearing, NetworkSimplex performed the best where the Closed Loops strategy was not an optimized approach. / Genom att delta i den finansiella marknaden köper och säljer en participant olika sorters kontrakt vilket resulterar i att samlingen av kontrakt växer. Med en ständigt växande samling av kontrakt skapas problem som, att kostnaden för hantering ökar, att orderbokens hantering blir svårare och en ökad risk för konkurs. För att undvika dessa problem kan man utföra kompression vilket är att försöka reducera kontrakten i antal och storlek. Vi har studerat tre olika typer av kompressionsstrategier för kompression av ränteswappar. Den första strategin är Coupon Blending som är specialiserad för central clearing medan de två andra, Closed Loops och Network Simplex Metoden är utvecklade för bilateral clearing. Genom att använda Monte Carlo Simuleringar på alla tre strategier kunde vi dra slutsatser kring deras egenskaper och effektivitet. Den bästa strategin var Coupon Blending som kunde terminera över 92% av alla kontrakt, och samtidigt reducera den totala absoluta storleken på kontrakten med 75%. Network Simplex presterade också bra och kunde reducera den totala absoluta storleken på kontrakten med 75% och terminera 86% av kontrakten. Coupon Blending och Network Simplex hade bägge en liknande noggrannhet, men Network Simplex var något bättre på att hålla systemets totala risk intakt. För bilateral clearing presterade Network Simplex bäst där Closed Loops strategin inte var tillräckligt optimerad.