Are CDS Auctions Biased and Inefficient?
研究信用违约互换（CDS）拍卖的设计，发现当前拍卖因限制投资者参与和价格上下限导致价格偏差和分配低效，并提出更高效的双向拍卖方案。
ABSTRACT We study the design of credit default swaps (CDS) auctions, which determine the payments by CDS sellers to CDS buyers following defaults of bonds. Using a simple model, we find that the current design of CDS auctions leads to biased prices and inefficient allocations. This is because various restrictions imposed in CDS auctions prevent certain investors from participating in the price discovery and allocation process. The imposition of a price cap or floor also gives dealers large influence on the final auction price. We propose an alternative double auction design that delivers more efficient price discovery and allocations.