CDS Standardization: Possible Effects of the Fixed Coupon Convention - Softcover

Campos E Caruso, Pedro Alberto

Softcover

ISBN 10: 3843389128 ISBN 13: 9783843389129

Verlag: LAP LAMBERT Academic Publishing, 2010

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 3843389128
• ISBN 13: 9783843389129
• Einband: Taschenbuch
• Anzahl der Seiten: 64
• Kontakt zum Hersteller: Nicht verfügbar
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