We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

Following the upset of the financial crisis, and especially after the collapse of Lehman Brothers, Governments in advanced economies have provided support to the fi nancial sector to help restoring its normal functioning and to avoid the widening of the meltdown. Banking CDS premia climbed from...

The 21st century witnessed an extraordinary boom in the CDS market. The increased popularity of CDS instruments as investment and hedging vehicles has seen a parallel development in the CDS research literature. This paper exploits the results of a search on title textual analysis to explore...

In this study, I analyze the effect of central clearing on market liquidity in the CDS market. This study extends existing literature by using semi-parametric and non-parametric regression discontinuity designs (RDD) in order to isolate the effect of central clearing on measures of market...