scientific article; zbMATH DE number 7088130

MaRDI QIDQ5226711zbMATH OpenFDO

Authors Francis A. Longstaff, Sanjay Mithal, Eric Neis

Publication date 1 August 2019

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
• Liquidity tail risk and credit default swap spreads
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market
• On the relationship between stock liquidity and corporate bond credit spreads
• Liquidity spreads in the corporate bondmarket: estimation using a semi-parametric model
• Mind the gap: disentangling credit and liquidity in risk spreads

Cited in

(18)

• The impact of stock market volatility on corporate bond credit spreads.
• Interest rate swaps and corporate default
• Liquidity tail risk and credit default swap spreads
• Dynamic risk exposures in hedge funds
• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?
• CDS trading and bond interest rates
• Demystifying yield spread on corporate bonds trades in India
• Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe
• US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
• A non-parametric investigation of risk premia
• Hedging market and credit risk in corporate bond portfolios
• A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
• Yield spreads and the corporate bond rollover channel
• Liquidity spreads in the corporate bondmarket: estimation using a semi-parametric model
• Dynamic credit default swap curves in a network topology
• Corporate credit risk premia
• On the relationship between stock liquidity and corporate bond credit spreads
• Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

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