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Estimating Loss Given Default from CDS Under Weak Identification
Liu, Lily Y. - 2017
This paper combines a term structure model of credit default swaps (CDS) with weak-identification robust methods to jointly estimate the probability of default and the loss given default of the underlying firm. The model is not globally identified because it forgoes parametric time series...
Persistent link: https://www.econbiz.de/10012948273
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The Liquidity of Credit Default Index Swap Networks
Haynes, Richard - 2019
increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …
Persistent link: https://www.econbiz.de/10012871667
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …
Persistent link: https://www.econbiz.de/10010302537
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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115
improvement in liquidity and trading activity. …
Persistent link: https://www.econbiz.de/10010752915
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On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches
Collin-Dufresne, Pierre - 2011
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it...
Persistent link: https://www.econbiz.de/10013133963
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The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading : Evidence from the Credit Default Swap Market
Loon, Yee Cheng - 2013
improvement in liquidity and trading activity …
Persistent link: https://www.econbiz.de/10013089648
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Temporal Effects in Index CDS Trading and Liquidity
Xu, Weike - 2020
) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …
Persistent link: https://www.econbiz.de/10012833364
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The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress
Peña, Juan Ignacio - 2019
This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit …
Persistent link: https://www.econbiz.de/10012868923
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Funding Liquidity Shocks in a Quasi-Experiment : Evidence from the CDS Big Bang
Wang, Xinjie - 2020
shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute …
Persistent link: https://www.econbiz.de/10012855723
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Does Dodd-Frank Affect OTC Transaction Costs and Liquidity? Evidence from Real-Time CDS Trade Reports
Loon, Yee Cheng - 2015
This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real … price level or 2.73% of CDS spread. Dodd-Frank does affect transaction costs and liquidity. Liquidity improves after the …
Persistent link: https://www.econbiz.de/10013033481