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 … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary …

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks … mutual impact on credit spreads are investigated based on CDS spreads of the biggest derivative dealers in the market. By … including factors identified as determinants of CDS spreads to the set of explanatory variables such as equity return and equity …

default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and … transparency and robustness for the empirical study at hand. Using a large data-set of CDS contracts we find that CDS price …

the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …