factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …

Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and … factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

The misalignment between corporate bond and credit default swap (CDS) spreads (i.e., CDSbond basis) during the 2007 …-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

linear dynamics. In our empirical application, we examine the importance of the credit default swap market relative to the …

deutschen Regulierung – Eine Ländervergleichsstudie Die Studie analysiert das aus gehaltenen CDS-Positionen resultierende …

that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U ….S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal …