Min, Xiaoping; Ji, Min - In: Risks : open access journal 10 (2022) 7, pp. 1-16
its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate … bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various …