Implied Liquidity Risk in the Term Structure of Sovereign Credit Default Swap Spreads

2012 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

2015 ◽  
Vol 22 (10) ◽  
pp. 825-853 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Bond Spreads

scholarly journals Accounting Transparency and the Term Structure of Credit Default Swap Spreads

2008 ◽  
Author(s):  
Claus Bajlum ◽  
Peter Tind Larsen
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Understanding the term structure of credit default swap spreads

2015 ◽  
Vol 31 ◽  
pp. 18-35 ◽  
Author(s):  
Bing Han ◽  
Yi Zhou
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Extreme Liquidity Risk and Credit Default Swap Spreads

2016 ◽  
Author(s):  
Felix Irresberger ◽  
Gregor N. F. Weiss ◽  
Janet Gabrysch ◽  
Sandra Gabrysch
Keyword(s):  
Liquidity Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads
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