The primary goal sought by the Bank of International Settlements (BIS) and its committee on Banking Supervision (BCBS) is to make banks safer entities and maintain a "level playing field" between them. However, the question of whether this objective can be attained through enforcing capital...

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate...

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 the variation over time of the term structure of...