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Liquidity and Credit Default Swap Spreads∗ Dragon Yongjun Tang† University of Hong Kong Hong Yan‡ University of South Carolina This version: April 25, 2008 ABSTRACT…
NBER WORKING PAPER SERIES CORPORATE YIELD SPREADS: DEFAULT RISK OR LIQUIDITY? NEW EVIDENCE FROM THE CREDIT-DEFAULT SWAP MARKET Francis Longstaff Sanjay Mithal Eric Neis Working…
THE JOURNAL OF FINANCE • VOL. LX, NO. 5 • OCTOBER 2005 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market FRANCIS A.…
Safe Assets Scarcity, Liquidity and SpreadsGabriella Chiesa Università Bologna FT September 2, 2010 Siemens, Europe's largest engineering group, is setting up
Liquidity, Liquidity Spillover, and Credit Default Swap Spreads ∗ Dragon Yongjun Tang† Kennesaw State University Hong Yan‡ University of Texas at Austin and SEC This…
Realized Volatility, Liquidity, and Corporate Yield Spreads Marco Rossi ∗ December 7, 2009 Abstract This study revisits the relative role of credit risk and illiquidity…
The University of Reading What Drives Swap Spreads, and Salih Neftci Graduate Center, City University of New York ISMA Centre, University of Reading, UK with Ira Jersey Credit
Journal of Financial Intermediation 9, 213–239 (2000) doi:10.1006/jfin.2000.0288, available online at http://www.idealibrary.com on Tick Size, Spreads, and Liquidity: An…
Treasury and Trade Solutions Managing Liquidity During Turbulent Times: Strategies for Managing FX Risk Corporate and institutional treasurers around the globe are facing…
Mark to Market II: Credit Valuation Adjustments David Robinson, Partner, Ernst & Young Jane Hronsky, Lecturer, The University of Melbourne Melbourne Money and Finance…
Latent Liquidity and Corporate Bond Yield Spreads Amrut Nashikkar∗ Marti Subrahmanyam† November 14, 2006 Abstract Recent research has shown that default risk accounts…
8/6/2019 Credit Default Spreads Theory 1/14Roland Beck, Risk Analysis GroupThe CDS market: A primerIncluding computational remarks on DefaultProbabilities online8/6/2019…
BID-ASK SPREADS AND LIQUIDITY DETERMINANTS ACROSS VARIOUS MARKET STRUCTURES ON THE ITALIAN BOURSE by Dionigi Gerace A dissertation submitted in fulfillment of the requirements…
Journal of Financial Intermediation 9 213–239 2000 doi:101006jfin20000288 available online at http:wwwidealibrarycom on Tick Size Spreads and Liquidity: An Analysis of…
CORPORATE YIELD SPREADS AND BOND LIQUIDITY CHEN, LESMOND AND WEI (2007) Septian Bayu K. 0806479080 Malahayati Sari 0806435532 Latar Belakang Penelitian sebelumnya : Collin-Dufresne,…
Liquidity and Credit Risk Jan Ericsson∗and Olivier Renault First version August 1998 This version August 2001 Abstract We develop a simple binomial model of liquidity…
Latent Liquidity and Corporate Bond Yield Spreads Sriketan Mahanti∗ Amrut Nashikkar† Marti Subrahmanyam‡ August 7 2007 Abstract Recent research has shown that default…
1 Information, Liquidity and Corporate Yield Spreads Xing Zhou∗ Rutgers Business School Rutgers University ABSTRACT Valuation of corporate debt has been an extremely important,…
1 Mutual Fund Holdings of Credit Default Swaps: Liquidity Management and Risk Taking 1 Wei Jiang 2 Columbia Business School Zhongyan Zhu 3 CUHK Business School, The Chinese…
Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms*Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks