Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We use an extensive data set of bilateral credit default swap (CDS) positions to estimate the
impact on collateral demand of new clearing and margin regulations. The estimated …

This paper reviews the young but rapidly growing literature on sovereign credit default swap
premia. A discussion of current debates in the academic and popular press hopefully raises …

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” …

This submission discusses implications for the quality and safety of financial markets of
proposed rules implementing the market-making provisions of section 13 of the Bank …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

Using proprietary credit default swap (CDS) data, I investigate how capital shocks at
protection sellers impact pricing in the CDS market. Seller capital shocks—measured as …

Financial innovation through the creation of new markets and securities impacts related
markets as well, changing their efficiency, quality (pricing error), and liquidity. The credit …

Understanding how contagion works among financial institutions is a top priority for
regulators and policy makers who aim to foster financial stability and to prevent financial …

This paper examines transaction costs and liquidity in the index CDS market by matching
intraday quotes to real-time trade reports made available through the Dodd-Frank reforms …