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Contagion and Excess Correlation in Credit Default Swaps · Study

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PreprintContagion and Excess Correlation in Credit Default Swaps

Unknown author2011

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Preprintgreen2011

Contagion and Excess Correlation in Credit Default Swaps

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25 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2002Illiquidity and stock returns: cross-section and time-series effects 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2008Market Liquidity and Funding Liquidity 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2002Market Timing and Capital Structure 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?

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2015A Credit Spread Puzzle for Reduced-Form Models

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2014The Empirical Analysis of Liquidityarticle · 18 shared references 2013What drives corporate default risk premia? Evidence from the CDS marketarticle · 18 shared references 2010Liquidity Risk of Corporate Bond Returns: A Conditional Approachpreprint · 17 shared references 2018An empirical comparison of credit spreads between the bond market and the credit default swap marketarticle · 16 shared references 2014Credit Default Swaps: A Surveyarticle · 15 shared references 2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Dataarticle · 15 shared references

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Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1937998

openalex_workW1482631209

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