scholarly journals Liquidity Risk in Credit Default Swap Markets

2013 ◽  
Author(s):  
Benjamin Junge ◽  
Anders B. Trolle
Keyword(s):  
Liquidity Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

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

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

2011 ◽  
Vol 66 (1) ◽  
pp. 203-240 ◽  
Author(s):  
DION BONGAERTS ◽  
FRANK DE JONG ◽  
JOOST DRIESSEN
Keyword(s):  
Liquidity Risk ◽  
Credit Default Swap ◽  
Derivative Pricing ◽  
Risk Theory ◽  
Credit Default ◽  
Default Swap

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

scholarly journals Liquidity Risk in Credit Default Swap Markets

2013 ◽  
Author(s):  
Anders B. Trolle ◽  
Benjamin Junge
Keyword(s):  
Liquidity Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

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

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap
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