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How much can illiquidity affect corporate debt yield spread?
Abudy, Menachem; Raviv, Alon - In: Journal of financial stability 25 (2016), pp. 58-69
Persistent link: https://www.econbiz.de/10011704784
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Liquidating illiquid collateral
Oehmke, Martin - In: Journal of economic theory 149 (2014), pp. 183-210
Persistent link: https://www.econbiz.de/10010258381
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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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Model of stress-testing of banks' liquidity risk in Ukraine
Krykliy, Olena; Luchko, Iryna - In: Financial markets, institutions and risks : FMIR 2 (2018) 2, pp. 123-132
Persistent link: https://www.econbiz.de/10011884892
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Liquidity risk of corporate bond returns : conditional approach
Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386
Persistent link: https://www.econbiz.de/10010208670
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The effect of liquidity and solvency risk on the inclusion of bond covenants
Cook, Douglas O.; Fu, Xudong; Tang, Tian - In: Journal of banking & finance 48 (2014), pp. 120-136
Persistent link: https://www.econbiz.de/10010506929
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Do CDS spreads move with commonality in liquidity?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - In: Review of derivatives research 18 (2015) 3, pp. 225-261
Persistent link: https://www.econbiz.de/10011477302
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What drives the liquidity of sovereign bonds when markets are under stress? : an assessment of the new Basel 3 rules on bank liquid assets
Petrella, Giovanni; Resti, Andrea - In: Journal of financial stability 33 (2017), pp. 297-310
Persistent link: https://www.econbiz.de/10011877761
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Liquidity commonality in the secondary corporate loan market
Anthony, John; Docherty, Paul; Lee, Doowon; Shamsuddin, Abul - In: Economics letters 161 (2017), pp. 10-14
Persistent link: https://www.econbiz.de/10011903828
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts …
Persistent link: https://www.econbiz.de/10010258589