trading activity or of a deterioration in the default risk of the underlying bond. These results suggest that the increase in … CDS spreads can be mainly attributed to a reduction in CDS counterparty risk …

validate that the negative basis can be explained by liquidity risk in both the bond and CDS markets, together with … counterparty risk, collateral quality, and funding constraints. Finally, we propose a model to empirically affirm that the basis …

Credit risk is the major challenge for risk managers and market regulators. Banks, regulators and central banks do not … agree on how to measure credit risk and, more particularly, on how to compute the optimal capital that is necessary for … protecting the different partners that share this risk. Asking banks to keep too much capital in reserve to cover credit risk can …

finance per se did not trigger the last financial crisis. The crisis was propagated around the world because of poor risk …

asymmetric behavior toward the upside potential of gain versus the downside risk of loss. Using an asymmetric split normal …-default-model-implied) spread to two illiquidity risk factors. The first factor is extracted from several measures of idiosyncratic illiquidity …