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Modelling the liquidity premium on corporate bonds

Loon, Paul R. F. van; Cairns, Andrew; McNeil, Alexander J. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 264-289

Persistent link: https://www.econbiz.de/10011541988

Option-based credit spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - 2014

Persistent link: https://www.econbiz.de/10010468759

A simple structural model with a default boundary dependent on stock market performance

Kim, Hwa-sung - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 356-383

Persistent link: https://www.econbiz.de/10010408043

Realized volatility, liquidity, and corporate yield spreads

Rossi, Marco - In: The quarterly journal of finance 4 (2014) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10010423791

Decomposition of country-specific corporate bond spreads

Dötz, Niko - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...