CDS Standardization: Possible Effects of the Fixed Coupon Convention - Couverture souple

Campos E Caruso, Pedro Alberto

 
9783843389129: CDS Standardization: Possible Effects of the Fixed Coupon Convention
Couverture souple
ISBN 10 : 3843389128 ISBN 13 : 9783843389129
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

This work analyses the impact that CDS standardization should have on the market. It focused on what seems to be the most important convention, among all CDS standards: the fixed coupon convention. After explaining briefly the standardization itself and this particular convention, this works analyses its impact on CDS volumes yet to be issued and on liquidity through the transaction bid ask spread. Concerning volume, it did not find an overall tendency; it depends on the market conditions. Results are that, adopting conventional CDS coupon rates above credit spread shall encourage speculation. It shall also increase hedging transaction volumes in illiquid market situations, while discouraging hedging in liquid market situations. As for the bid as spread, using an information asymmetry based model, results are that adopting coupon rate above credit spread shall increase liquidity spread.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This work analyses the impact that CDS standardization should have on the market. It focused on what seems to be the most important convention, among all CDS standards: the fixed coupon convention. After explaining briefly the standardization itself and this particular convention, this works analyses its impact on CDS volumes yet to be issued and on liquidity through the transaction bid ask spread. Concerning volume, it did not find an overall tendency; it depends on the market conditions. Results are that, adopting conventional CDS coupon rates above credit spread shall encourage speculation. It shall also increase hedging transaction volumes in illiquid market situations, while discouraging hedging in liquid market situations. As for the bid as spread, using an information asymmetry based model, results are that adopting coupon rate above credit spread shall increase liquidity spread.

Biographie de l'auteur

Pedro Caruso was born and spent early childhood in Brazil. At 13, he moved to France, where he completed his studies in Market Finance, at the University Paris Dauphine. Aged 24, he achieved his master?s degree: Research in Finance with honors. Nowadays, he works in the financial industry, in the Banking sector.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843389128
ISBN 13 
9783843389129
Reliure
Broché
Nombre de pages
64
Coordonnées du fabricant
non disponible
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