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 …