In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this … main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation …. We first show that CDS traders adjust the CDS premium in response to the observed order flow. Buy orders lead to an …

We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and … liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary …

We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically …, we investigate whether fee rebates for liquidity providers enhance liquidity on the introducing market and thereby … increase its competitiveness and market share. Further, we analyze whether single-market liquidity provider incentives increase …

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … unwound. Key results show: Liquidations by constrained members lower the CCP's profits and make cds-spreads less informative …

Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has … well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …