Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*
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Publication:5378888
DOI10.1093/rof/rfy034zbMath1414.91401OpenAlexW3122699700MaRDI QIDQ5378888
Publication date: 3 June 2019
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/rof/rfy034
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (8)
Affine arbitrage-free yield net models with application to the euro debt crisis ⋮ Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities ⋮ Pricing corporate bonds with credit risk, liquidity risk, and their correlation ⋮ Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model ⋮ Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach ⋮ A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ Decomposing LIBOR in transition: evidence from the futures markets ⋮ Sovereign illiquidity and recessions.
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