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AbstractWe investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than...
Persistent link: https://www.econbiz.de/10011206711
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. Having access...
Persistent link: https://www.econbiz.de/10010958715
type="main" <title type="main">ABSTRACT</title> <p>We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (<link href="#jofi12143-bib-0033"/>): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk....</p>
Persistent link: https://www.econbiz.de/10011147918
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000...
Persistent link: https://www.econbiz.de/10010571651
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions...
Persistent link: https://www.econbiz.de/10011052287
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure into default and non-default (liquidity)...
Persistent link: https://www.econbiz.de/10011039231
This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's...
Persistent link: https://www.econbiz.de/10005080451
Persistent link: https://www.econbiz.de/10005759653
Persistent link: https://www.econbiz.de/10005184366
We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an unpredictable...
Persistent link: https://www.econbiz.de/10005184369