Showing 1 - 10 of 36,725
We develop a reduced-form model that allows us to decompose bond spreads and CDS premiainto a pure credit risk component, a pure liquidity component, and a component measuring therelation between credit risk and liquidity. CDS liquidity has important consequences for the bondcredit risk and...
Persistent link: https://www.econbiz.de/10005867856
Persistent link: https://www.econbiz.de/10001646775
Persistent link: https://www.econbiz.de/10001639703
Persistent link: https://www.econbiz.de/10003389047
Persistent link: https://www.econbiz.de/10004909847
Persistent link: https://www.econbiz.de/10004879711
Modellierung von Liquidität -- Dynamisches Gleichgewichtsmodell zur Bestimmung von Liquiditätsspreads in illiquiden Anleihemärkten -- Eigenschaften des Liquiditätsspreads -- Empirische Untersuchung von Liquiditätsspreads -- Fazit und Ausblick.
Persistent link: https://www.econbiz.de/10013516654
Persistent link: https://www.econbiz.de/10012172457
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …
Persistent link: https://www.econbiz.de/10011867130
Persistent link: https://www.econbiz.de/10011919647