Schuster, Philipp; Uhrig-Homburg, Marliese - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond … the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short …, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects. …