The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a …

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These …

Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has …

fixed issuer effects. Despite the premium pricing, bonds of private companies are no more likely to default or be downgraded …This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 … basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for …

; thus, the participation of investment in blue bonds decreases. Last, we examine the factors that cause stock returns and …

We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout … events. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. A difference …