Trading the bond-CDS basis: The role of credit risk and liquidity
Year of publication: |
2009
|
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Authors: | Trapp, Monika |
Publisher: |
Cologne : University of Cologne, Centre for Financial Research (CFR) |
Subject: | Anleihe | Credit Default Swap | Wertpapierhandel | Rentabilität | Kreditrisiko | Marktliquidität | Fehlerkorrekturmodell | Schätzung | Deutschland | bond asset swap spreads | CDS premia | basis trading profits | credit risk | liquidity | fixed-effects | vector error correction model |
Series: | CFR working paper ; 09-16 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 616613229 [GVK] hdl:10419/41361 [Handle] RePEc:zbw:cfrwps:0916 [RePEc] |
Classification: | C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika, (2009)
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika, (2009)
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Forte, Santiago, (2020)
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Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures
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Time-varying credit risk and liquidity premia in bond and CDS markets
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Explaining the Bond-CDS Basis: The role of credit risk and liquidity
Bühler, Wolfgang, (2009)
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