Skip to main content
Leavey School of Business Santa Clara University

Newsmakers

Finance Professor Sanjiv Das Head Shot

Finance Professor Sanjiv Das Head Shot

Sanjiv Das : Featured Research : Bloomberg

Research on credit default swap trading by professor Sanjiv Das appeared in Bloomberg.
William and Janice Terry Professor of Finance Sanjiv Das Head Shot

Research on credit default swap trading by Sanjiv Das , William and Janice Terry Professor of Finance and Business Analytics, was mentioned in a BloombergView “Money Stuff” article by Matt Levine.

An excerpt from the piece:
Here's a big literature review about single-name credit default swap trading from the International Swaps and Derivatives Association. People tend to associate robust single-name CDS trading with bond market liquidity, the idea being basically that it is easier for dealers (and ultimate investors) to buy and sell bonds if they can hedge their credit risk in the CDS market. I was interested to see that there's evidence the other way too though:

“Using an extensive sample of single-name CDS and bond trades between 2002 and 2008 Das, Kalimipalli, and Nayak (2014) show that the average trade size and average turnover (relative to the total outstanding) in corporate bond markets declines in the two-year period subsequent to the inception of single-name CDS trading. Because the CDS market involves active players and is dominated by financial institutions that typically are relatively better informed, it is not surprising that Das, Kalimpipalli, and Nayak (2014) also find evidence of large institutional traders migrating from corporate bond markets to single-name CDS markets after the latter were introduced. This exodus of institutional trades likely explains the apparent deterioration in bond market quality that the authors found following the introduction of single-name CDSs.”

Find the full article here»

Learn more about Professor Sanjiv Das»

LSB Newsmakers, Sanjiv Das, FNCE, MSBA