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dc.contributor.authorKaya, Orcun-
dc.date.accessioned2021-01-22T15:54:32Z-
dc.date.available2021-01-22T15:54:32Z-
dc.date.issued2017-
dc.identifier.issn1756-7130de_CH
dc.identifier.issn1756-7149de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/21406-
dc.description.abstractIn 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.de_CH
dc.language.isoende_CH
dc.publisherIndersciencede_CH
dc.relation.ispartofInternational Journal of Financial Markets and Derivativesde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectCentral clearingde_CH
dc.subjectCost of tradingde_CH
dc.subjectCounterparty riskde_CH
dc.subjectCredit default swapde_CH
dc.subjectCDSde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleCDS spreads in the aftermath of central clearingde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
dc.identifier.doi10.1504/IJFMD.2017.087958de_CH
zhaw.funding.euNot specifiedde_CH
zhaw.issue2de_CH
zhaw.originated.zhawNode_CH
zhaw.pages.end101de_CH
zhaw.pages.start75de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume6de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
Appears in collections:Publikationen School of Management and Law

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