We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects. -- bond …

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads …