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  • 2018
  • Working Paper

OTC Intermediaries

By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
  • Format:Print
  • | Language:English
  • | Pages:68
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Abstract

Over-the-counter (OTC) markets for financial assets are dominated by a relatively small number of core intermediaries and a large number of peripheral customers. In this paper, we develop a model of trade in a core-periphery network and estimate its key structural parameters using proprietary credit default swap data from the Depository Trust & Clearing Corporation (DTCC). Using our calibrated model, we provide quantitative estimates of: (1) the effect of network frictions on the level of OTC derivatives prices; (2) the key determinants of cross sectional dispersion in bilateral prices; and (3) how prices and risk-sharing change in response to the failure of a dealer.

Keywords

OTC Markets; Intermediaries; Dealers; Credit Default Swaps; Risk Sharing; Networks; Price; Risk and Uncertainty

Citation

Eisfeldt, Andrea L., Bernard Herskovic, Sriram Rajan, and Emil Siriwardane. "OTC Intermediaries." Working Paper, August 2018.
  • SSRN
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About The Author

Emil N. Siriwardane

Finance
→More Publications

Related Work

    • February 2023
    • Review of Financial Studies

    OTC Intermediaries

    By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
Related Work
  • OTC Intermediaries By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
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