| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | CDS spreads in the aftermath of central clearing |
| Authors: | Kaya, Orcun |
| et. al: | No |
| DOI: | 10.1504/IJFMD.2017.087958 |
| Published in: | International Journal of Financial Markets and Derivatives |
| Volume(Issue): | 6 |
| Issue: | 2 |
| Page(s): | 75 |
| Pages to: | 101 |
| Issue Date: | 2017 |
| Publisher / Ed. Institution: | Inderscience |
| ISSN: | 1756-7130 1756-7149 |
| Language: | English |
| Subjects: | Central clearing; Cost of trading; Counterparty risk; Credit default swap; CDS |
| Subject (DDC): | 332: Financial economics |
| Abstract: | In an attempt to understand the impact of derivative market reforms, this paper focuses on the spreads of centrally cleared CDSs using a unique data set of voluntarily cleared non-financial single-name contracts over the period from January 2009 to June 2013. Controlling for a number of factors that previous studies identified as important determinants of credit risk, my results indicate that CDS spreads widen with the initiation of central clearing. I document that even though dealer risk is priced in CDS spreads and an increase in dealer risk narrows spreads, the initiation of central clearing does not necessarily change the pricing of counterparty risk for CDSs written on non-financial firms. On the contrary, I provide evidence that CDS volatility and central clearing widen CDS spreads jointly. Because the margin requirements of CCPs depend heavily on CDS spread variations observed in the past, observed widening in spreads is potentially caused by the collateral costs related to central clearing. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/21406 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Management and Law |
| Appears in collections: | Publikationen School of Management and Law |
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Kaya, O. (2017). CDS spreads in the aftermath of central clearing. International Journal of Financial Markets and Derivatives, 6(2), 75–101. https://doi.org/10.1504/IJFMD.2017.087958
Kaya, O. (2017) ‘CDS spreads in the aftermath of central clearing’, International Journal of Financial Markets and Derivatives, 6(2), pp. 75–101. Available at: https://doi.org/10.1504/IJFMD.2017.087958.
O. Kaya, “CDS spreads in the aftermath of central clearing,” International Journal of Financial Markets and Derivatives, vol. 6, no. 2, pp. 75–101, 2017, doi: 10.1504/IJFMD.2017.087958.
KAYA, Orcun, 2017. CDS spreads in the aftermath of central clearing. International Journal of Financial Markets and Derivatives. 2017. Bd. 6, Nr. 2, S. 75–101. DOI 10.1504/IJFMD.2017.087958
Kaya, Orcun. 2017. “CDS Spreads in the Aftermath of Central Clearing.” International Journal of Financial Markets and Derivatives 6 (2): 75–101. https://doi.org/10.1504/IJFMD.2017.087958.
Kaya, Orcun. “CDS Spreads in the Aftermath of Central Clearing.” International Journal of Financial Markets and Derivatives, vol. 6, no. 2, 2017, pp. 75–101, https://doi.org/10.1504/IJFMD.2017.087958.
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