Liquidity tail risk and credit default swap spreads
Year of publication: |
16 September 2018
|
---|---|
Authors: | Irresberger, Felix ; Weiß, Gregor ; Gabrysch, Janet ; Gabrysch, Sandra |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 269.2018, 3 (16.9.), p. 1137-1153
|
Subject: | Finance | Credit default swaps | Liquidity risk | Copula | Liquidity tail beta | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Liquidität | Liquidity | Derivat | Derivative | Betriebliche Liquidität | Corporate liquidity | Multivariate Verteilung | Multivariate distribution | Insolvenz | Insolvency | Schätzung | Estimation | Swap | Risikoprämie | Risk premium | Bankenliquidität | Bank liquidity | Marktliquidität | Market liquidity |
-
The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen, (2015)
-
Liquidity risk in credit default swap markets
Junge, Benjamin, (2013)
-
Liquidity risk of corporate bond returns : conditional approach
Acharya, Viral V., (2013)
- More ...
-
Liquidity Tail Risk and Credit Default Swap Spreads
Irresberger, Felix, (2018)
-
Catastrophe bonds and systemic risk
Weiß, Gregor, (2013)
-
Essays on stock performance, regulation, and financial stability of banks and insurers
Irresberger, Felix, (2015)
- More ...