Journal article
Endogenous liquidity in credit derivatives
Abstract
We study the determination of liquidity provision in the single-name credit default swap (CDS) market as measured by the number of distinct dealers providing quotes. We find that liquidity is concentrated among large obligors and those near the investment-grade/speculative-grade cutoff. Consistent with endogenous liquidity provision by informed financial institutions, more liquidity is associated with obligors for which there is a greater …
Authors
Qiu J; Yu F
Journal
Journal of Financial Economics, Vol. 103, No. 3, pp. 611–631
Publisher
Elsevier
Publication Date
March 2012
DOI
10.1016/j.jfineco.2011.10.010
ISSN
0304-405X