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Seminars will take place on Wednesday. Times vary according to the speaker’s location.
Seminars will take place on Wednesday. Times vary according to the speaker’s location.
All times in AEDT, China Standard Time (also Singapore and Hong Kong) is AEDT-3h. Paper title and link to paper below and in Zoom information.
Speaker: Laurence Daures (ESSEC)
Title: Client heterogeneity and bilateral oligopoly in credit derivative markets
Date: 12 October 2022
Abstract:
This paper investigates how the market power of dealers relative to customers affects transaction costs in credit default swap markets. Using detailed transaction data from the German single-name CDS market, we find that market concentration has increased and execution quality for non-centrally cleared CDS has deteriorated between 2009 and 2016. Controlling for counterparty risk and CDS characteristics, we show that dealers' market concentration worsens transaction costs. We also find that the bargaining power of customers may counterbalance dealers' market power. In particular, customers less informed, with more dealer connections, trading more often and in larger size obtain better prices.
Ground rules: Seminars will last 45 minutes with questions typed into the chat box and moderated by the host during the talk. There will be a 15 minute Q&A session at the end of the session that will be organised by a moderator.
Seminar Series 2022
Date Presenter Time (AEDT) Link
12-Oct-22 Laurence Daures 18:00 Registration Paper
Past Seminars
Date Presenter Time (AEDT) Link
29-Jul-20 Eric Budish 10:30 Registration Paper
5-Aug-20 Thomas Marta 17:00 Registration Paper
19-Aug-20 Gideon Saar 11:00 Registration Paper
26-Aug-20 Thomas Ernst 11:00 Registration Paper
9-Sep-20 Angelo Ranaldo 17:00 Registration Paper
16-Sep-20 Anthony Zhang 11:00 Registration Paper
23-Sep-20 Sunil Wahal 11:00 Registration Paper
7-Oct-20 Mao Ye 12:00 Registration Paper
14-Oct-20 Sophie Moinas 19:00 Registration Paper
21-Oct-20 Mina Lee 12:00 Registration Paper
28-Oct-20 Albert Menkveld 19:00 Registration Paper
4-Nov-20 Alexey Ivashchenko 19:00 Registration Paper
11-Nov-20 Chaojun Wang 12:00 Registration Paper
17-Feb-21 Charles Jones 12:00 Registration Paper
24-Feb-21 Chen Yao 13:00 Registration Paper
3-Mar-21 Charles Trzcinka 12:00 Registration Paper
17-Mar-21 Bart Zhou Yueshen 13:00 Registration Paper
24-Mar-21 Terry Hendershott 12:00 Registration Paper
31-Mar-21 Edwin Hu 12:00 Registration Paper
7-Apr-21 Tarun Chordia 11:00 Registration Paper
14-Apr-21 Esen Onur 11:00 Registration Paper
21-Apr-21 Yashar Barardehi 11:00 Registration Paper
28-Apr-21 Kumar Venkataraman 11:00 Registration Paper
5-May-21 Elena Asparouhova 11:00 Registration Paper
19-May-21 Haoxiang Zhu 11:00 Registration Paper
26-May-21 Carole Comerton-Forde 13:00 Registration Paper
2-Jun-21 Liyan Yang 11:00 Registration Paper
9-Jun-21 Amy Kwan 13:00 Registration Paper
23-Jun-21 Amit Goyal 16:30 Registration Paper
30-Jun-21 Hans Degryse 17:00 Registration Paper
7-Jul-21 Darrell Duffie 11:00 Registration Paper
28-Jul-21 Gregory Eaton 11:00 Registration Paper
11-Aug-21 Milena Wittwer 11:00 Registration Paper
18-Aug-21 Wei Li 11:00 Registration Paper
8-Sep-21 Marius Zoican 11:00 Registration Paper
22-Sep-21 Tavy Ronen 11:00 Registration Paper
29-Sep-21 Dmitriy Muravyev 11:00 Registration Paper
6-Oct-21 Norman Schürhoff 18:00 Registration Paper
13-Oct-21 Yan Xiong 13:00 Registration Paper
20-Oct-21 Sean Foley 16:00 Registration Paper
3-Nov-21 Zhuo Zhong 16:00 Registration Paper
10-Nov-21 Evangelos Benos 19:00 Registration Paper
17-Nov-21 James Brugler 16:00 Registration Paper
1-Dec-21 Emiliano Pagnotta 16:00 Registration Paper
23-Mar-22 Albert Menkveld 18:00 Registration Paper
30-Mar-22 Mao Ye 13:00 Registration Paper
13-Apr-22 Jay Kahn 12:00 Registration Paper
27-Apr-22 Fatemeh Aramian 17:00 Registration Paper
11-May-22 Yashar Barardehi 13:00 Registration Paper
18-May-22 Thomas Ernst 11:00 Registration Paper
08-Jun-22 Jean-Edouard Colliard 17:00 Registration Paper
15-Jun-22 Raymond Fishe 10:00 Registration Paper
29-Jun-22 Shihao Yu 11:00 Registration Paper
13-Jul-22 Richard Philip 11:00 Registration Paper
7-Sep-22 Evgenii Gorbatikov 17:00 Registration Paper
21-Sep-22 Pierre Collin-Dufresne 17:00 Registration Paper
5-Oct-22 Christine Parlour 12:00 Registration Paper
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