Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013
In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...
