金融与经济学术论坛第4期
题目：Funding Liquidity Shocks in a Natural Experiment:Evidence from the CDS Big Bang
主讲人：Yangru Wu, RutgersUniveristy
主持人：李平
时间：2017年3月16日上午10点
地点：北航新主楼A座1048
摘要：
The CDS Big Bang (the protocol changes for the CDS market in April 2009) increased the upfront funding requirements for trading CDS contracts, especially for those with credit spreads further away from 100 and 500 basis points. Exploiting this natural experiment, we document direct evidence that a higher funding requirement reduces market liquidity, increases the absolute value of the CDS-bond basis, and CDS spread volatility. Our evidence highlights an unintended consequence of the ongoing standardization of OTC markets—while its intention is to reduce systemic risk, standardization may jeopardize market liquidity precisely during periods of financial distress.
主讲人简介：
Yangru Wu is Professor of Finance and Director of the Master of Quantitative Finance Program at the Rutgers Business School. He received his Ph.D. from the Ohio State University in 1993. His current research interest areas are international finance and empirical asset pricing. He has published over 50 articles in numerous scholasticjournals, including Journal of Finance, International Economics Review, Journal of Monetary Economics, Journal of Money Credit & Banking, and Biometrika.
