My interest in this research topic was inspired by the apparently global consensus on the mandate for central clearing in the credit default swaps market. At the first glance, the central clearing mechanism with its central counterparties is the hero who saved many market participants from...

We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstructure, we successfully apply the propagator technique to estimate the price...

The book deals with the design of bilateral contractual arrangements for OTC (over-the-counter)-traded derivatives transactions. These arrangements govern inter alia the rights and obligations of the parties in the event of a default. The main provisions of the widely used ISDA Master Agreements...