In this article, we revisit the impact of the voluntary central clearing scheme on the CDS market. In order to address the endogeneity problem, we use a robust methodology that relies on dynamic propensity-score matching combined with generalized difference-in-differences. Our empirical findings...

We reinvestigate the CDS-bond basis negativity puzzle after the financial crisis. This puzzle is defined as the unexpected persistence of the dislocation between bond and derivative credit markets. We show that the first two moments of the basis are described by three distinct Markov regimes...

The aim of this paper is to investigate the theoretical and empirical pricing of the Chicago Board of Trade (CBOT) Treasury-bond futures. The difficulty to price it arises from its multiple interdependent embedded delivery options, which can be exercised at various times and dates during the...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board of Trade Treasury-bond futures, one of the most traded derivatives in the world. This system is proposed as an alternative to the current...