This work analyses the impact that CDS standardization should have
on the market. It focused on what seems to be the most important
convention, among all CDS standards: the fixed coupon convention.
After explaining briefly the standardization itself and this
particular convention, this works analyses its impact on CDS
volumes yet to be issued and on liquidity through the transaction
bid ask spread. Concerning volume, it did not find an overall
tendency; it depends on the market conditions. Results are that,
adopting conventional CDS coupon rates above credit spread shall
encourage speculation. It shall also increase hedging transaction
volumes in illiquid market situations, while discouraging hedging
in liquid market situations. As for the bid as spread, using an
information asymmetry based model, results are that adopting coupon
rate above credit spread shall increase liquidity spread.
General
Imprint: |
Lap Lambert Academic Publishing
|
Country of origin: |
Germany |
Release date: |
December 2010 |
First published: |
December 2010 |
Authors: |
Pedro Alberto Campos E. Caruso
|
Dimensions: |
229 x 152 x 4mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
64 |
ISBN-13: |
978-3-8433-8912-9 |
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-8433-8912-8 |
Barcode: |
9783843389129 |
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