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Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10012458027

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

-market liquidity …

Persistent link: https://www.econbiz.de/10012468275

Credit Default Swaps and the Credit Crisis

Stulz, René M. - 2009

Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counterparty risk and that they...

Persistent link: https://www.econbiz.de/10012463266

Option-Based Credit Spreads

Culp, Christopher L. - 2014

We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads,...

Persistent link: https://www.econbiz.de/10012457890

When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

Bai, Jennie - 2012

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...

Persistent link: https://www.econbiz.de/10012460062

Bad News Travels Slowly : Size, Analyst Coverage and the Profitability of Momentum Strategies

Hong, Harrison - 1998

A number of theories have been proposed to explain the medium-term momentum in stock returns identified by Jegadeesh and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and establish three key results. First, once one moves past...

Persistent link: https://www.econbiz.de/10012472255

FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets

Levich, Richard M. - 2012

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...

Persistent link: https://www.econbiz.de/10012460404

The Market for OTC Derivatives

Atkeson, Andrew G. - 2013

normative questions of how regulation of entry impacts welfare …

Persistent link: https://www.econbiz.de/10012459749

The Fed Takes on Corporate Credit Risk : An Analysis of the Efficacy of the SMCCF

Gilchrist, Simon - 2020

of the announcement. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially …

Persistent link: https://www.econbiz.de/10012481112

Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs

Collin-Dufresne, Pierre - 2010

Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond index reacts adversely to a credit event. In this...

Persistent link: https://www.econbiz.de/10012462918

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