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Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets · Study

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PreprintTime-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets

Wolfgang J. Buhler2008

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Preprintgreen2008

Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets

Wolfgang J. Buhler · Monika Trapp

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

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2005Asset pricing with liquidity risk 2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2001Explaining the Rate Spread on Corporate Bonds 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1999Credit Swap Valuation

Cited by

2011Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis 2013Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach 2013Credit and liquidity components of corporate CDS spreads 2010Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads 2012Dollar illiquidity and central bank swap arrangements during the global financial crisis

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2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Dataarticle · 12 shared references 2008Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Dataarticle · 11 shared references 2007Liquidity and Credit Default Swap Spreadspreprint · 8 shared references 2010Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants: Evidence from the Credit Default Swap Marketarticle · 8 shared references 2004Credit Risk Modelingchapter · 7 shared references 2013Liquidity effects in corporate bond spreadsarticle · 7 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations95

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1101730

openalex_workW1556819441

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2013

The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach

2012Credit Risk in Covered Bonds

2019Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach