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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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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …
Persistent link: https://www.econbiz.de/10012271211
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Liquidating Illiquid Collateral
Oehmke, Martin - 2015
Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in repo lending involves a...
Persistent link: https://www.econbiz.de/10013036180
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The determinants of CDS bid-ask spreads
Wojtowicz, Marcin - 2014
surprises, which suggests that private information does not hinder CDS liquidity. …
Persistent link: https://www.econbiz.de/10010415519
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Liquidity basis between credit default swaps and corporate bonds markets
Kim, Kwanho - In: International review of economics & finance : IREF 48 (2017), pp. 98-115
Persistent link: https://www.econbiz.de/10011747092
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Investor diversity and liquidity in the secondary loan market
Santos, João A. C.; Shao, Pei - In: Journal of financial services research 63 (2023) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10014258864
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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
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Liquidity and Counterparty Risk in OTC Markets
Kiefer, Patrick Christian - 2014
in markets with less liquidity. Heterogeneous beliefs imply agents do better than break-even from trade in expectation. I …
Persistent link: https://www.econbiz.de/10013063904
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Market liquidity risk : implications for asset pricing, risk management, and financial regulation
Van der Merwe, Andria - 2015 - 1. ed.
Musings on liquidity -- Financial crises and liquidity traffic jams -- Market structures and institutional arrangements … of trading -- Asset pricing and liquidity models -- Stories of liquidity and credit -- Financial regulation and liquidity …
Persistent link: https://www.econbiz.de/10011318554
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Explaining the Bond-CDS Basis : the role of credit risk and liquidity
Bühler, Wolfgang; Gehde-Trapp, Monika - In: Risikomanagement und kapitalmarktorientierte …, (pp. 375-402). 2009
Persistent link: https://www.econbiz.de/10003861246