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 …

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks … mutual impact on credit spreads are investigated based on CDS spreads of the biggest derivative dealers in the market. By … including factors identified as determinants of CDS spreads to the set of explanatory variables such as equity return and equity …

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …

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 …