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The liquidity of credit default index swap networks

Haynes, Richard; McPhail, Lihong Lu - In: The journal of network theory in finance 5 (2019) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10012133008

The impact of liquidity on senior credit index spreads during the subprime crisis

Marra, Miriam - In: International review of financial analysis 37 (2015), pp. 148-167

Persistent link: https://www.econbiz.de/10011317226

Market microstructure, banks' behaviour and interbank spreads : evidence after the crisis

Kapar, Burcu; Iori, Giulia; Gabbi, Giampaolo; Germano, Guido - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 283-331

Persistent link: https://www.econbiz.de/10012226919

The equity-like behaviour of sovereign bonds

Dufour, Alfonso; Stancu, Andrei; Varotto, Simone - In: Journal of international financial markets, … 48 (2017), pp. 25-46

Persistent link: https://www.econbiz.de/10011892283

A volatility-based single parameter Loss Given Default model

Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210

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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 … 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 …

Persistent link: https://www.econbiz.de/10010258589