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The use of credit default swaps by bond mutual funds : Liquidity provision and counterparty risk
Aragon, George O.; Li, Lei; Qian, Jun - In: Journal of financial economics 131 (2019) 1, pp. 168-185
Persistent link: https://www.econbiz.de/10012130937
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Did liquidity providers become liquidity seekers?
Choi, Jaewon; Shachar, Or - 2013
The misalignment between corporate bond and credit default swap (CDS) spreads (i.e., CDSbond basis) during the 2007 …-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …
Persistent link: https://www.econbiz.de/10010202650
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Commonality in liquidity in the US corporate bond market
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016
Persistent link: https://www.econbiz.de/10011733594
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Dash for dollars
Cesa-Bianchi, Ambrogio; Czech, Robert; Eguren-Martin, … - 2023
Persistent link: https://www.econbiz.de/10014318097
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Debt market illiquidity and correlated default risk
Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273
Persistent link: https://www.econbiz.de/10012005695
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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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Liquidity and pricing of credit default swaps in Japan : evidence from a benchmark index for corporate debt claims
Inaba, Kei-Ichiro - In: Journal of financial services research : JFSR 54 (2018) 1, pp. 111-143
Persistent link: https://www.econbiz.de/10012024963
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Effects of liquidity on the non-default component of corporate yield spreads : evidence from intraday transactions data
Han, Song; Zhou, Hao - In: The quarterly journal of finance 6 (2016) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10011531498
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Cross-market liquidity and dealer profitability : evidence from the bond and CDS markets
Aramonte, Sirio; Szerszeń, Paweł J. - In: Journal of financial markets 51 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10013536216
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The liquidity premium in China’s corporate bond market : a stochastic liquidity discount approach
Min, Xiaoping; Ji, Min - In: Risks : open access journal 10 (2022) 7, pp. 1-16
its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate … bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various …
Persistent link: https://www.econbiz.de/10013365115