• Corpus ID: 227255039

Competition analysis on the over-the-counter credit default swap market

@article{Abraham2020CompetitionAO,
  title={Competition analysis on the over-the-counter credit default swap market},
  author={Louis Abraham},
  journal={ArXiv},
  year={2020},
  volume={abs/2012.01883}
}
  • L. Abraham
  • Published 3 December 2020
  • Computer Science, Economics
  • ArXiv
We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that successfully estimate the initial margin requirements. However, our estimations are not precise enough to use them as input to a predictive model for CCP choice by counterparties in the OTC market. Second, we model counterpart choice on the interdealer… 

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