Microstructure Online Seminars Asia Pacific

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