| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8456 |
| DP8456 CDS Auctions | |
| Igor Makarov; Mikhail Chernov; Alexander Gorbenko | |
| 发表日期 | 2011-06-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current auction design may not result in the fair bond price and suggest modifications to the auction design to minimize mispricing. In our empirical study, we find support for our theoretical predictions. We show that an auction undervalues bonds by 10\%, on average, on the day of the auction and link this undervaluation to the number of bonds that are exchanged during the auction. We also document a V-shaped pattern in underpricing during the days surrounding the auction: in the days leading up to the auction, the extent to which bonds are underpriced declines, while after the auction, the extent to which they are underpriced increases, with the smallest underpricing coming on the day of the auction. |
| 主题 | Financial Economics |
| 关键词 | Auctions Credit default swaps Mispricing Open interest Settlement |
| URL | https://cepr.org/publications/dp8456 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537284 |
| 推荐引用方式 GB/T 7714 | Igor Makarov,Mikhail Chernov,Alexander Gorbenko. DP8456 CDS Auctions. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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