Essec\Faculty\Model\Contribution {#2216
#_index: "academ_contributions"
#_id: "12828"
#_source: array:26 [
"id" => "12828"
"slug" => "standardization-transparency-initiatives-and-liquidity-in-the-cds-market"
"yearMonth" => "2022-06"
"year" => "2022"
"title" => "Standardization, transparency initiatives, and liquidity in the CDS market"
"description" => "DAURES-LESCOURRET, L. et FULOP, A. (2022). Standardization, transparency initiatives, and liquidity in the CDS market. <i>Journal of Financial Markets</i>, 59, Part A, pp. 100718."
"authors" => array:2 [
0 => array:3 [
"name" => "DAURES-LESCOURRET Laurence"
"bid" => "B00024824"
"slug" => "daures-laurence"
]
1 => array:3 [
"name" => "FULOP Andras"
"bid" => "B00072302"
"slug" => "fulop-andras"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Credit default swap"
1 => "Liquidity, Transparency"
2 => "Small bang"
3 => "Counterparty risk"
]
"updatedAt" => "2023-01-27 01:00:42"
"publicationUrl" => "https://doi.org/10.1016/j.finmar.2022.100718"
"publicationInfo" => array:3 [
"pages" => "100718"
"volume" => "59, Part A"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We investigate liquidity changes in the credit default swap (CDS) market around two events that increased market transparency and standardization during the Great Financial Crisis: the dissemination of CDS positions starting in November 2008, and the implementation of the Small Bang in July 2009. We build an econometric model based on bid and ask quotes to measure liquidity in thinly traded CDSs. We find that, after the release of CDS positions, the market-wide deterioration in liquidity is less important for banks, consistent with information revelation alleviating systemic risk uncertainty. The Small Bang also improved liquidity, particularly for more illiquid CDSs."
"en" => "We investigate liquidity changes in the credit default swap (CDS) market around two events that increased market transparency and standardization during the Great Financial Crisis: the dissemination of CDS positions starting in November 2008, and the implementation of the Small Bang in July 2009. We build an econometric model based on bid and ask quotes to measure liquidity in thinly traded CDSs. We find that, after the release of CDS positions, the market-wide deterioration in liquidity is less important for banks, consistent with information revelation alleviating systemic risk uncertainty. The Small Bang also improved liquidity, particularly for more illiquid CDSs."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
"docTitle" => "Standardization, transparency initiatives, and liquidity in the CDS market"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/daures-laurence">DAURES-LESCOURRET Laurence</a>, <a href="/cv/fulop-andras">FULOP Andras</a>"
"docDescription" => "<span class="document-property-authors">DAURES-LESCOURRET Laurence, FULOP Andras</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2022</span>"
"keywordList" => "<a href="#">Credit default swap</a>, <a href="#">Liquidity, Transparency</a>, <a href="#">Small bang</a>, <a href="#">Counterparty risk</a>"
"docPreview" => "<b>Standardization, transparency initiatives, and liquidity in the CDS market</b><br><span>2022-06 | Journal articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://doi.org/10.1016/j.finmar.2022.100718" target="_blank">Standardization, transparency initiatives, and liquidity in the CDS market</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.613594
+"parent": null
}
