A Liquidity Analysis of CDS & Bonds
By Pierre-Philippe Ste-Marie and Robert Pinkerton
There are many discussions lately about fixed income OTC market liquidity but we saw very few backed by data. In doing this research we strive to understand how liquidity has evolved over the last 5 years, to figure out when did the liquidity regime changes happened, what is liquid and what isn’t and most importantly we strive to understand if the OTC market, particularly the CDS market, was still liquid enough for a strategy like our credit opportunity strategy to operate. This paper presents our conclusions and potential research extension.
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