In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on …

.To enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market ….Our preliminary results show a significant and positive effect on the liquidity of PXA options in several ways …

In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign … credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to …. Secondly, our results indicate that the time-varying bond and CDS liquidity risk premium move in opposite directions which …

balance sheet. In particular, funding costs, default risk and liquidity risk are considered. A valuation framework is … risk of the bank holding the derivative, and the funding valuation adjustment that some authors have proposed to include … the cost of funding into the valuation.This paper investigates the valuation of derivatives and other assets as part of a …

lower market and funding liquidity and higher investors' risk-aversion are important drivers of the increase in the spread …This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the senior tranche of the CDX …-capital, and liquidity preference exhibited by investors. Using cointegration analysis, the paper shows that during the crisis …

improvement in liquidity and trading activity …

thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment … and a funding value adjustment. Implications for the organization of a dealing room are also investigated …