indexed swap (OIS) curve, and if there is no margin interest, then there should be no discounting. We show that arbitrage …

Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the …

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross … section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity … intermediaries and, in broad terms, CDS market illiquidity. The analysis reveals priced liquidity risk in that credit protection …

liquidity provision declined around the introduction of so-called swap execution facilities (SEFs); i.e., regulated trading …The third chapter documents a decline of transaction costs and profits from liquidity provision in the index CDS market … costs and are less profitable from a liquidity provider’s perspective in comparison to bilaterally negotiated trades, which …