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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross … simple no-arbitrage relations between different CDS contracts reflect constraints on the risk-bearing capacity of CDS market … intermediaries and, in broad terms, CDS market illiquidity. The analysis reveals priced liquidity risk in that credit protection …
Persistent link: https://www.econbiz.de/10011903311
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Corporate social responsibility and credit default swap spreads : evidence from Eurozone firms
Barth, Florian - In: Empirical essays on corporate bond and credit default …, (pp. 106-143). 2018
Persistent link: https://www.econbiz.de/10012159861
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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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Developments in CDS markets : a review on recent CDS studies
Zhong, Zhaodong - 2024
Persistent link: https://www.econbiz.de/10015047738
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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
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How can information on CDS contracts be used to estimate liquidity premium in the bond market
Tarasova, Polina - In: Market risk and financial markets modeling, (pp. 247-254). 2012
Persistent link: https://www.econbiz.de/10009514429
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News sentiment and sovereign credit risk
Cathcart, Lara; Gotthelf, Nina; Uhl, Matthias; Shi, Yining - In: Three essays on media content and financial markets, (pp. 52-120). 2017
Persistent link: https://www.econbiz.de/10011889872
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Survival analysis and ROC analysis in analyzing credit risks : assessing default risks over time
Hu, Nan; Cheng, Haojie - In: Analyzing risk through probabilistic modeling in …, (pp. 380-403). 2016
Persistent link: https://www.econbiz.de/10011476968
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Dependence between extreme risk factor movements of euro area sovereign bonds
Kahlert, Dennis - In: Three essays on capital and liquidity, (pp. 108-141). 2018
Persistent link: https://www.econbiz.de/10012116903