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EPFL_TH7322.pdf
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🔗 Source: infoscience.epfl.ch
📊 Size: 1.96 MB
👤 Author: Junge, Jan Benjamin
⬇️ Downloads: 99

Summary

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets, focusing on the impact of liquidity risk and transaction costs on credit default swaps (CDSs). The research consists of three chapters: the first chapter examines whether liquidity risk is priced in the cross-section of CDS returns, finding that credit protection sellers earn higher expected excess returns on CDS contracts with higher liquidity exposures; the second chapter analyzes transaction costs in the dealer-to-customer and dealer-to-dealer segments of the post-Dodd-Frank index CDS market, revealing that differences in transaction costs reflect differences in price impacts rather than profits from liquidity provision; and the third chapter documents a decline in transaction costs and profits from liquidity provision in the index CDS market over a two-and-a-half-year period following the implementation of Dodd-Frank regulations.

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This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets, focusing on the impact of liquidity risk and...

Technical Information

  • File Format: PDF
  • File Size: 1.96 MB
  • Pages: 201
  • Language: EN
  • Author: Junge, Jan Benjamin
  • Total Downloads: 99
  • Last Updated: 10 hours ago

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