Groba, Jonatan; Lafuente, Juan Ángel; Serrano, Pedro - Departamento de Economía de la Empresa, Universidad … - 2014
-time specification to incorporate illiquidity as an additional pricing factor of default swap contracts for the most developed economies …. The illiquidity discount process is identified as compensation to investors for the risk of unwinding their positions when … trading in the less liquid part of the curve, and the information about illiquidity is directly extracted from the term …