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The determinants of CDS bid-ask spreads
Lei Meng; Ap Gwilym, Owain - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 70-80
Persistent link: https://www.econbiz.de/10003771461
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The determinants of CDS bid-ask spreads
Wojtowicz, Marcin - 2014
We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...
Persistent link: https://www.econbiz.de/10010415519
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Estimating endogenous liquidity using transaction and order book information
Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012
We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the...
Persistent link: https://www.econbiz.de/10009674768
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Estimating endogenous liquidity using transaction and order book information
Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - In: Advances in financial risk management : corporates, …, (pp. 181-200). 2013
Persistent link: https://www.econbiz.de/10010213086
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Pricing constant-maturity credit default swaps under jum dynamics
Jönsson, Henrik; Schoutens, Wim - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10003853300
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The correlation of a firm's credit spread with its stock price : evidence from credit default swaps
Scheicher, Martin - In: Stock market volatility, (pp. 405-417). 2009
Persistent link: https://www.econbiz.de/10003830647
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Explaining co-movements between equity and CDS bid-ask spreads
Marra, Miriam - In: Review of quantitative finance and accounting 49 (2017) 3, pp. 811-853
Persistent link: https://www.econbiz.de/10011797542
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Kreditderivate im Fokus : Credit-Default-Swap-Markt versus Anleihemarkt
Wagner, Eva - In: CFO aktuell : Zeitschrift für Finance & Controlling 1 (2007) 5, pp. 203-206
Persistent link: https://www.econbiz.de/10003562145
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Determinanten von Banken-Spreads während der Finanzmarktkrise
Heidorn, Thomas; Birkmeyer, Jörg; Rogalski, André - 2010
Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment der Banken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden die Determinanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewählter europäischer Banken im Zeitraum April...
Persistent link: https://www.econbiz.de/10003981932
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Funding liquidity and CDS-bond basis : evidence from the CDS big bang
Wang, Xinjie; Zhong, Zhaodong - 2024
Persistent link: https://www.econbiz.de/10015047585