EconPapers    
Economics at your fingertips  
 

Does central clearing benefit risky dealers?

Sergio Mayordomo () and Peter N. Posch

Journal of International Financial Markets, Institutions and Money, 2016, vol. 42, issue C, 91-100

Abstract: We study the effect of the first introduction of central clearing to the credit default swap market using a data set of intraday quotes sent directly by the major dealers to the market. We find the event to eliminate counterparty risk and improve price information. Furthermore, we find riskier dealers to increase their trading activity. In fact, after the elimination of their counterparty risk premium they increase the number of competitive quotes both on the bid and ask sides but more pronounced on the ask side.

Keywords: Central clearing; Counterparty risk; Credit default swaps (search for similar items in EconPapers)
JEL-codes: G21 G28 D02 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443116300026
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:42:y:2016:i:c:p:91-100

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-10-22
Handle: RePEc:eee:intfin:v:42:y:2016:i:c:p:91-100