Narrow search
Showing 1 - 2 of 2
Cover Image
Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable...
Persistent link: https://www.econbiz.de/10010258589
Cover Image
How integrated are credit and equity markets? : evidence from index options
Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020
In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the … extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich … derive analytical expressions for CDX and SPX options. Calibrating the model, we find that it captures many aspects of the …
Persistent link: https://www.econbiz.de/10012271184