An Analysis of CDS Market Liquidity by the Hawkes Process
AbstractWe study the credit default swap (CDS) markets in the U.S. and Japan, focusing on bid-ask spreads which are closely related to the liquidity of the markets. Since bid-ask spreads dramatically surged during the financial crisis (2008-2009) and the market became very illiquid, it is crucially important to investigate how bid-ask spreads fluctuate. In this paper, not only do we make dynamic analysis of the bid-ask spreads in both countries but propose a model to predict bid-ask spreads via the self-exciting intensity process (the Hawkes process).
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Bibliographic InfoPaper provided by Graduate School of Economics Project Center, Kyoto University in its series Discussion papers with number e-13-001.
Length: 35 pages
Date of creation: Jun 2013
Date of revision:
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Web page: http://www.econ.kyoto-u.ac.jp/projectcenter/
More information through EDIRC
CDS contract; liquidity; bid-ask spread; the Hawkes process; self-exciting processes; financial crisis; credit risk;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Insider Trading in Credit Derivatives,"
CEPR Discussion Papers
5180, C.E.P.R. Discussion Papers.
- Jan Ericsson & Olivier Renault, 2006.
"Liquidity and Credit Risk,"
Journal of Finance,
American Finance Association, vol. 61(5), pages 2219-2250, October.
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