Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963370 | Journal of International Financial Markets, Institutions and Money | 2013 | 14 Pages |
Abstract
⺠Study the simultaneous determination of price clustering and size clustering in CDS. ⺠We show a strong trade-off between price clustering and notional amount. ⺠More costly to use an unusual notional amount than to negotiate a more refined price. ⺠CDS market has tended toward more standardization of notional amounts as it has matured.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lei Meng, Thanos Verousis, Owain ap Gwilym,