Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - In: The European Journal of Finance 17 (2011) 9-10, pp. 851-881
This paper analyses the role of liquidity in the price discovery process. Specifically, we focus on the credit derivatives markets in the context of the subprime crisis. We present a theoretical price discovery model for the asset swap packages (ASPs), bond and credit default swap (CDS) markets...