Publikationstyp: Beitrag in wissenschaftlicher Zeitschrift
Art der Begutachtung: Peer review (Publikation)
Titel: CDS spreads in the aftermath of central clearing
Autor/-in: Kaya, Orcun
et. al: No
DOI: 10.1504/IJFMD.2017.087958
Erschienen in: International Journal of Financial Markets and Derivatives
Band(Heft): 6
Heft: 2
Seiten: 75
Seiten bis: 101
Erscheinungsdatum: 2017
Verlag / Hrsg. Institution: Inderscience
ISSN: 1756-7130
1756-7149
Sprache: Englisch
Schlagwörter: Central clearing; Cost of trading; Counterparty risk; Credit default swap; CDS
Fachgebiet (DDC): 332: Finanzwirtschaft
Zusammenfassung: 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
Volltext Version: Publizierte Version
Lizenz (gemäss Verlagsvertrag): Lizenz gemäss Verlagsvertrag
Departement: School of Management and Law
Enthalten in den Sammlungen:Publikationen School of Management and Law

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