This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish …. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). … government securities market. First, we propose a classification of bonds into four different categories based on their degree of …

We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other …, was not preceded by any announcement, and was carried simultaneously for all bonds. …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with … this financial instrument in the United States and in several other countries has led to the conclusion that these bonds … are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the …

This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … pronounced among the non-SOE bonds and low-rated bonds. Our evidence suggests that breaking the expectation of rigid redemption … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the … pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …