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 …

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

Mots-clés de l'auteur: Credit Default Swap ; Dodd-Frank Act ; Index Credit Default Swap ; Liquidity Risk ; Over …

liquidity providers. The analysis reveals that D2C trades indeed have larger transaction costs than D2D trades but that the … differences in transaction costs reflect differences in price impacts rather than differences in profits from liquidity provision …