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Credit default swaps in general equilibrium : spillovers, credit spreads, and endogenous default
Darst, R. Matthew; Refayet, Ehraz - 2016
Persistent link: https://www.econbiz.de/10011500390
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What drives the cross-section of credit spreads? : a variance decomposition approach
Nozawa, Yoshio - 2014
Persistent link: https://www.econbiz.de/10010434016
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Estimating the price of default risk
Duffee, Greg - 1996
Persistent link: https://www.econbiz.de/10000946480
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Investigating the sources of default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001
Persistent link: https://www.econbiz.de/10001573166
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Investment commonality across insurance companies : fire sale risk and corporate yield spreads
Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017
explanatory power for yield spreads, controlling for liquidity, credit risk and other factors. The effect of fire-sale risk on …
Persistent link: https://www.econbiz.de/10011710064
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Information in yield spread trades
Park, Yang-Ho - 2019
Using positions data on bond futures, I document that speculators' spread trades contain private information about future economic activities and asset prices. Strong steepening trades are associated with negative payroll surprises in subsequent months and can predict asset markets' reaction to...
Persistent link: https://www.econbiz.de/10012018461
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Recovery in default risk modeling : theoretical foundations and empirical applications
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001
Persistent link: https://www.econbiz.de/10001613473
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Customer liquidity provision : implications for corporate bond transaction costs
Choi, Jaewon; Huh, Yesol - 2017 - Current draft: October 2017
The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …
Persistent link: https://www.econbiz.de/10011803677
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - 2006
Persistent link: https://www.econbiz.de/10003391507
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - 2006
Persistent link: https://www.econbiz.de/10009569792