The Anatomy of the CDS Market

• 成果类型: Article
• 署名作者: Oehmke, Martin; Zawadowski, Adam
• 署名单位: Columbia University; National Bureau of Economic Research; Central European University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw068
• 发表日期: 2017
• 页码: 80
• 关键词: Credit default swaps; loan sales; derivatives; RISK; liquidity; banking; bonds; debt

摘要

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as alternative trading venues serving a standardization and liquidity role. CDS positions and trading volume are larger for firms with bonds fragmented into many separate issues and with heterogeneous contractual terms. Whereas hedging motives are associated with trading volume in the bond and CDS markets, speculative trading concentrates in the CDS. Cross-market arbitrage links the CDS and bond market via the basis trade, compressing the negative CDS-bond basis and reducing price impact in the bond market.