Séminaires de recherche

Swap Trading after Dodd-Frank: Evidence from Index CDS


Intervenant : Haoxiang Zhu
MIT Sloan School of Management

22 mars 2018 - T004 - De 14h00 à 15h15


The Dodd-Frank Act mandates that certain standard OTC derivatives, also known as swaps, must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of dealers' and customers' trading behavior on the two largest dealer-to-customer SEFs for index CDS. On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by an endogenous winner's curse problem. Consistent with the model, we find that order size, market conditions, and customer-dealer relationships are important empirical determinants of customers' choice of trading mechanism and dealers' liquidity provision.


Intervenant : Xavier Gabaix

13 juin 2019 - T104 - De 14h00 à 15h15


6 juin 2019 - T004 - De 14h00 à 15h15


Intervenant : Adriano Rampini

23 mai 2019 - T105 - De 14h00 à 15h15


Intervenant : Luke Taylor

16 mai 2019 - T105 - De 14h00 à 15h15


Intervenant : Jessica Jeffers

18 avril 2019 - T104 - De 14h00 à 15h15


Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex


Augustin LANDIER

Finance (GREGHEC)

Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”