Similar Search Results

Market and model credit default swap spreads : mind the gap!

Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: European financial management : the journal of the … 17 (2011) 4, pp. 655-678

Persistent link: https://www.econbiz.de/10009388310

Do sovergeign credit default swaps represent a clean measure of sovereign default risk? : a factor model approach

Badaoui, Saad; Cathcart, Lara; Jahel, Lina el - In: Journal of banking & finance 37 (2013) 7, pp. 2392-2407

Persistent link: https://www.econbiz.de/10009760637

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

Badaoui, Saad; Cathcart, Lara; Jahel, Lina el - In: The European journal of finance 22 (2016) 10/12, pp. 825-853

Persistent link: https://www.econbiz.de/10011715207

Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads

Badaoui, Saad - 2014

In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of...

Persistent link: https://www.econbiz.de/10013063132

The pricing of floating rate instruments

Cathcart, Lara - In: The journal of computational finance 1 (1998) 4, pp. 31-51

Persistent link: https://www.econbiz.de/10001366221

Sovereign and corporate credit risk : evidence from the Eurozone

Bedendo, Mascia; Colla, Paolo - In: The journal of corporate finance : contracting, … 33 (2015), pp. 34-52

Persistent link: https://www.econbiz.de/10011408394