Showing 1 - 10 of 6,269
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and … liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …
Persistent link: https://www.econbiz.de/10011698857
In a seminal 1972 paper, Robert M. May asked: "Will a Large Complex System Be Stable?" and argued that stability (of a broad class of random linear systems) decreases with increasing complexity, sparking a revolution in our understanding of ecosystem dynamics. Twenty-five years later, May,...
Persistent link: https://www.econbiz.de/10012291950
Persistent link: https://www.econbiz.de/10011545180
Persistent link: https://www.econbiz.de/10011590235
Persistent link: https://www.econbiz.de/10011306351
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity … finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …
Persistent link: https://www.econbiz.de/10011308604
Persistent link: https://www.econbiz.de/10011968759
Persistent link: https://www.econbiz.de/10014463074
Persistent link: https://www.econbiz.de/10012430444
Persistent link: https://www.econbiz.de/10012264905