Does central clearing benefit risky dealers?
•Using intraday quotes of CDS dealers we measure the effect of the first central clearing to the market.•We confirm central clearing to eliminate counterparty risk and improve price information.•Riskier dealers participate more actively in the market.•But their willingness to sell is stronger than t...
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| Veröffentlicht in: | Journal of international financial markets, institutions & money institutions & money, 2016-05, Vol.42, p.91-100 |
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| container_title | Journal of international financial markets, institutions & money |
| container_volume | 42 |
| creator | Mayordomo, Sergio Posch, Peter N. |
| description | •Using intraday quotes of CDS dealers we measure the effect of the first central clearing to the market.•We confirm central clearing to eliminate counterparty risk and improve price information.•Riskier dealers participate more actively in the market.•But their willingness to sell is stronger than to buy.
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. |
| doi_str_mv | 10.1016/j.intfin.2016.02.002 |
| format | Article |
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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.</description><identifier>ISSN: 1042-4431</identifier><identifier>EISSN: 1873-0612</identifier><identifier>DOI: 10.1016/j.intfin.2016.02.002</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Asked price ; Central clearing ; Clearinghouses ; Counterparty risk ; Credit default swaps ; Risk management ; Risk premiums ; Securities trading ; Studies</subject><ispartof>Journal of international financial markets, institutions & money, 2016-05, Vol.42, p.91-100</ispartof><rights>2016 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. May 2016</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c398t-97847f0d664ab926df229b2061841cebaa18453f76db86e657b608727d0e52083</citedby><cites>FETCH-LOGICAL-c398t-97847f0d664ab926df229b2061841cebaa18453f76db86e657b608727d0e52083</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.intfin.2016.02.002$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3536,27903,27904,45974</link.rule.ids></links><search><creatorcontrib>Mayordomo, Sergio</creatorcontrib><creatorcontrib>Posch, Peter N.</creatorcontrib><title>Does central clearing benefit risky dealers?</title><title>Journal of international financial markets, institutions & money</title><description>•Using intraday quotes of CDS dealers we measure the effect of the first central clearing to the market.•We confirm central clearing to eliminate counterparty risk and improve price information.•Riskier dealers participate more actively in the market.•But their willingness to sell is stronger than to buy.
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.</description><subject>Asked price</subject><subject>Central clearing</subject><subject>Clearinghouses</subject><subject>Counterparty risk</subject><subject>Credit default swaps</subject><subject>Risk management</subject><subject>Risk premiums</subject><subject>Securities trading</subject><subject>Studies</subject><issn>1042-4431</issn><issn>1873-0612</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><recordid>eNp9kE9LxDAQxYMouK5-Aw8Fr7ZO0jRJL4rs-g8WvOg5pMlUUmu7Jl1hv71Z6tnTzMB7b2Z-hFxSKChQcdMVfphaPxQsTQWwAoAdkQVVssxBUHaceuAs57ykp-Qsxg4AaKVgQa7XI8bM4jAF02e2RxP88JE1OGDrpyz4-LnPHJoeQ7w7Jyet6SNe_NUleX98eFs955vXp5fV_Sa3Za2mvJaKyxacENw0NROuZaxuWLpEcWqxMSY1VdlK4RolUFSyEaAkkw6wYqDKJbmac7dh_N5hnHQ37sKQVmoqa1pWXAiRVHxW2TDGGLDV2-C_TNhrCvrARXd65qIPXDQwnbgk2-1sw_TBj8ego_U4WHQ-oJ20G_3_Ab86YGsu</recordid><startdate>20160501</startdate><enddate>20160501</enddate><creator>Mayordomo, Sergio</creator><creator>Posch, Peter N.</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20160501</creationdate><title>Does central clearing benefit risky dealers?</title><author>Mayordomo, Sergio ; Posch, Peter N.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c398t-97847f0d664ab926df229b2061841cebaa18453f76db86e657b608727d0e52083</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>Asked price</topic><topic>Central clearing</topic><topic>Clearinghouses</topic><topic>Counterparty risk</topic><topic>Credit default swaps</topic><topic>Risk management</topic><topic>Risk premiums</topic><topic>Securities trading</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Mayordomo, Sergio</creatorcontrib><creatorcontrib>Posch, Peter N.</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of international financial markets, institutions & money</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Mayordomo, Sergio</au><au>Posch, Peter N.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Does central clearing benefit risky dealers?</atitle><jtitle>Journal of international financial markets, institutions & money</jtitle><date>2016-05-01</date><risdate>2016</risdate><volume>42</volume><spage>91</spage><epage>100</epage><pages>91-100</pages><issn>1042-4431</issn><eissn>1873-0612</eissn><abstract>•Using intraday quotes of CDS dealers we measure the effect of the first central clearing to the market.•We confirm central clearing to eliminate counterparty risk and improve price information.•Riskier dealers participate more actively in the market.•But their willingness to sell is stronger than to buy.
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.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.intfin.2016.02.002</doi><tpages>10</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1042-4431 |
| ispartof | Journal of international financial markets, institutions & money, 2016-05, Vol.42, p.91-100 |
| issn | 1042-4431 1873-0612 |
| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | Asked price Central clearing Clearinghouses Counterparty risk Credit default swaps Risk management Risk premiums Securities trading Studies |
| title | Does central clearing benefit risky dealers? |
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