Article ID Journal Published Year Pages File Type
963370 Journal of International Financial Markets, Institutions and Money 2013 14 Pages PDF
Abstract
► Study the simultaneous determination of price clustering and size clustering in CDS. ► We show a strong trade-off between price clustering and notional amount. ► More costly to use an unusual notional amount than to negotiate a more refined price. ► 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
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