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Client heterogeneity and bilateral oligopoly in credit derivative markets

Research Seminar by Laurence Daures.
2023.05.15. 11:40 – 2023.05.15. 12:40
1093. Budapest, Közraktár utca 4-6.
Building C

Kapcsolódó elérhetőségek

Kapcsolódó hírek

Kapcsolódó események

Date and Time: 15 May 2023,  Monday, 11:40-12:40  

Venue: Corvinus University, Building C, Room C.106 

Language: English 

Abstract: This paper investigates how the market power of dealers relative to customers affects transaction costs in credit default swap markets. Using detailed transaction data from the German single-name CDS market, we find that market concentration has increased and execution quality for non-centrally cleared CDS has deteriorated between 2009 and 2016. Controlling for counterparty risk and CDS characteristics, we show that dealers’ market concentration worsens transaction costs. We also find that the bargaining power of customers may counterbalance dealers’ market power. In particular, customers less informed, with more dealer connections, trading more often and in larger size obtain better prices. 

Click here to access the author’s website. 

Please note that this Teams link is only in case you are unable to join the seminar in the Corvinus University of Budapest, room C106. However, the meeting will be generally held offline. 

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GEN.:2024.06.23. - 04:27:34