  For the last two decades, most financial markets have undergone an evolution
toward electronification. The market for corporate bonds is one of the last
major financial markets to follow this unavoidable path. Traditionally
quote-driven i.e., dealer-driven) rather than order-driven, the market for
corporate bonds is still mainly dominated by voice trading, but a lot of
electronic platforms have emerged. These electronic platforms make it possible
for buy-side agents to simultaneously request several dealers for quotes, or
even directly trade with other buy-siders. The research presented in this
article is based on a large proprietary database of requests for quotes (RFQ)
sent, through the multi-dealer-to-client (MD2C) platform operated by Bloomberg
Fixed Income Trading, to one of the major liquidity providers in European
corporate bonds. Our goal is (i) to model the RFQ process on these platforms
and the resulting competition between dealers, and (ii) to use our model in
order to implicit from the RFQ database the behavior of both dealers and
clients on MD2C platforms.
