CDS Auctions: An Overview

28 Pages Posted: 3 Jul 2019

See all articles by Erica Paulos

Erica Paulos

Federal Reserve Banks - Federal Reserve Bank of Richmond

Bruno Sultanum

Federal Reserve Banks - Federal Reserve Bank of Richmond

Elliot Tobin

Federal Reserve Banks - Federal Reserve Bank of Richmond

Date Written: 2019

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: Credit default swaps, cds

Suggested Citation

Paulos, Erica and Sultanum, Bruno and Tobin, Elliot, CDS Auctions: An Overview (2019). Economic Quarterly, Issue 2Q, pp. 105-132, 2019. Available at SSRN: https://ssrn.com/abstract=3413330

Erica Paulos (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622
Richmond, VA 23261
United States

Bruno Sultanum

Federal Reserve Banks - Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

Elliot Tobin

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622
Richmond, VA 23261
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
51
Abstract Views
177
rank
396,839
PlumX Metrics