We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … futures. Investigation of liquidity across 14 additional futures contracts suggests that the degree to which liquidity was …

. To mitigate this liquidity risk, CCPs often require members to post additional collateral to the initial margin, in the …-ons, this paper discusses the different approaches to incorporating market liquidity risk within a CCP's default waterfall and …

periods when funding liquidity deteriorates. The results are not driven by existing measures of funding illiquidity, market …

This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit …

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative … trades affect investors’ utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative …We study how derivatives (with nonlinear payoffs) affect the liquidity of the underlying asset. In a rational …