Journal Article
CDS Auctions: An Overview
Abstract: We discuss the historical background of the credit default swap (CDS) market, why CDS auctions were developed, and the most recent literature. We describe the auction rules using the Toys R Us auction as an example. Furthermore, we discuss the theoretical and empirical results presented in Chernov et al. (2013). Empirically, we extend their data to include more recent CDS auctions. Our results support their findings that dealers have incentive to manipulate the auction price downward when the net open interest is positive. Finally, we use novel dealer-level CDS positions to support Chernov et al.'s (2013) findings.
Keywords: cds; Credit default swaps;
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https://www.richmondfed.org/-/media/richmondfedorg/publications/research/economic_quarterly/2019/q2/sultanum.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Economic Quarterly
Publication Date: 2019
Issue: 2Q
Pages: 105-132