The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market

This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than set...

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Vydané v:	Journal of financial economics Ročník 112; číslo 1; s. 91 - 115
Hlavní autori:	Loon, Yee Cheng, Zhong, Zhaodong Ken
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Amsterdam Elsevier B.V 01.04.2014 Elsevier Sequoia S.A
Predmet:	Bond markets Bonds Central clearing Clearing Clearinghouses Counterparty risk Credit Credit default swap Credit default swaps Credit risk Investment analysis Liquidity Markets Personal finance Risk Risk management Risk theory Spread Studies Systemic risk Transparency Central clearing Counterparty risk G13 Liquidity G12 Systemic risk G14 Credit default swap G28 G18
ISSN:	0304-405X, 1879-2774
On-line prístup:	Získať plný text
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