CDS Auctions: An Overview

Erica Paulos, Bruno Sultanum and Elliot Tobin

Economic Quarterly, 2019, issue 2Q, 105-132

Abstract: We discuss the historical background of the credit default swap (CDS) market, why CDS auctions were developed, and the most recent literature. We describe the auction rules using the Toys R Us auction as an example. Furthermore, we discuss the theoretical and empirical results presented in Chernov et al. (2013). Empirically, we extend their data to include more recent CDS auctions. Our results support their findings that dealers have incentive to manipulate the auction price downward when the net open interest is positive. Finally, we use novel dealer-level CDS positions to support Chernov et al.'s (2013) findings.

Keywords: cds; Credit default swaps (search for similar items in EconPapers)
Date: 2019
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