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Liquidity and Credit Risk

Citations

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Cited by:

  1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
  2. Pascal Damel & Hoai An Le Thi & Nadège Peltre, 2016. "The challenge in managing new financial risks: adopting an heuristic or theoretical approach," Annals of Operations Research, Springer, vol. 247(2), pages 581-598, December.
  3. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  4. Areski Cousin & Ying Jiao & Christian y Robert & Olivier David Zerbib, 2021. "Optimal asset allocation subject to withdrawal risk and solvency constraints," Working Papers hal-03244380, HAL.
  5. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  6. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
  7. Jean-Paul Décamps & Stéphane Villeneuve, 2014. "Rethinking Dynamic Capital Structure Models With Roll-Over Debt," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 66-96, January.
  8. Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010. "How Does Liquidity Affect Government Bond Yields?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 107-134, February.
  9. Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
  10. Halling, Michael & Yu, Jin & Zechner, Josef, 2016. "Leverage dynamics over the business cycle," Journal of Financial Economics, Elsevier, vol. 122(1), pages 21-41.
  11. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.], University of Cologne, Centre for Financial Research (CFR).
  12. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
  13. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
  14. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
  15. Kedar nath Mukherjee, 2019. "Demystifying Yield Spread on Corporate Bonds Trades in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 253-284, June.
  16. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
  17. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June.
  18. Hangfei Guo & Mingming Leng & Yulan Wang, 2012. "Interchange fee rate, merchant discount rate, and retail price in a credit card network: A game‐theoretic analysis," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(7), pages 525-551, October.
  19. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
  20. Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
  21. Zhang, Jinqing & He, Liang & An, Yunbi, 2020. "Measuring banks’ liquidity risk: An option-pricing approach," Journal of Banking & Finance, Elsevier, vol. 111(C).
  22. Shah, Syed Noaman & Kebewar, Mazen, 2013. "US Corporate Bond Yield Spread. A default risk debate," EconStor Preprints 73690, ZBW - Leibniz Information Centre for Economics.
  23. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
  24. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
  25. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
  26. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
  27. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Ángel & Nieto, Belén, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
  28. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
  29. Chang, Charles & Fuh, Cheng-Der & Kao, Chu-Lan Michael, 2017. "Reading between the ratings: Modeling residual credit risk and yield overlap," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 114-135.
  30. Andreas Stephan & Oleksandr Talavera & Andriy Tsapin, 2008. "Corporate Debt Maturity Choice in Transition Financial Markets," Discussion Papers of DIW Berlin 784, DIW Berlin, German Institute for Economic Research.
  31. Zhiguo He & Konstantin Milbradt, 2014. "Endogenous Liquidity and Defaultable Bonds," Econometrica, Econometric Society, vol. 82(4), pages 1443-1508, July.
  32. Hatem Ben-Ameur & Tarek Fakhfakh & Alexandre Roch, 2024. "Valuing Corporate Securities When the Firm’s Assets are Illiquid," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 579-598, February.
  33. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
  34. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing corporate bonds with interest rates following double square-root process," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-31, September.
  35. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2019. "Corporate debt maturity and future firm performance volatility," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 216-237.
  36. Arcuri Maria Cristina & Gandolfi Gino & Monteux Manoux & Verga Giovanni, 2021. "The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(6), pages 1-1, June.
  37. Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
  38. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, April.
  39. Hsu, Feng-Jui & Chen, Sheng-Hung, 2021. "US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR)," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 650-664.
  40. Field, Laura Casares & Mkrtchyan, Anahit & Wang, Yuan, 2022. "Bond liquidity and investment," Journal of Banking & Finance, Elsevier, vol. 145(C).
  41. Nakashima, Kiyotaka & Saito, Makoto, 2009. "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 309-331, September.
  42. Lukas, Elmar & Thiergart, Sascha, 2019. "The interaction of debt financing, cash grants and the optimal investment policy under uncertainty," European Journal of Operational Research, Elsevier, vol. 276(1), pages 284-299.
  43. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  44. Della Seta, Marco & Morellec, Erwan & Zucchi, Francesca, 2020. "Short-term debt and incentives for risk-taking," Journal of Financial Economics, Elsevier, vol. 137(1), pages 179-203.
  45. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
  46. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, University Library of Munich, Germany.
  47. Allaudeen Hameed & Jean Helwege & Ran Li & Frank Packer, 2019. "Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 45-62, Bank for International Settlements.
  48. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
  49. Charlene P. Spiceland & Leo L. Yang & Joseph H. Zhang, 2016. "Accounting quality, debt covenant design, and the cost of debt," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1271-1302, November.
  50. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013. "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers 13-06, University of Cologne, Centre for Financial Research (CFR).
  51. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, January.
  52. Gunay, Samet, 2020. "Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes," Research in International Business and Finance, Elsevier, vol. 52(C).
  53. Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
  54. Albert Lee Chun & Ethan Namvar & Xiaoxia Ye & Fan Yu, 2019. "Modeling Municipal Yields With (and Without) Bond Insurance," Management Science, INFORMS, vol. 65(8), pages 3694-3713, August.
  55. Hugonnier, Julien & Malamud, Semyon & Morellec, Erwan, 2015. "Credit market frictions and capital structure dynamics," Journal of Economic Theory, Elsevier, vol. 157(C), pages 1130-1158.
  56. Rong Huang & Xintian Lin & Yuan Xie, 2023. "Does CDS market price intangible asset value? Evidence from SG&A expenditure," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 701-728, August.
  57. Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-49, September.
  58. Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
  59. Schuster, Philipp & Uhrig-Homburg, Marliese, 2012. "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics 45, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  60. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05, University of Cologne, Centre for Financial Research (CFR).
  61. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
  62. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  63. Helberg, Stig & Lindset, Snorre, 2016. "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 193-213.
  64. Diepold, Dennis, 2011. "Zum Einfluss kurzfristiger Fremdfinanzierungsmöglichkeiten auf die Portfoliooptimierung mit illiquiden Assets," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 65(4), pages 380-401.
  65. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, University Library of Munich, Germany.
  66. Mathur, Ike & Singh, Manohar & Nejadmalayeri, Ali & Jiraporn, Pornsit, 2013. "How do bond investors perceive dividend payouts?," Research in International Business and Finance, Elsevier, vol. 27(1), pages 92-105.
  67. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500, June.
  68. J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  69. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957.
  70. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  71. Nancy Masschelein & Kostas Tsatsaronis, 2008. "Measuring default risk in the trading book," Financial Stability Review, National Bank of Belgium, vol. 6(1), pages 163-172, June.
  72. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.
  73. Baviera, Roberto & Nassigh, Aldo & Nastasi, Emanuele, 2021. "A closed formula for illiquid corporate bonds and an application to the European market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  74. Takashi Shibata & Michi Nishihara, 2019. "Credit Spread And Liquidation Value-Based Debt Financing Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-27, August.
  75. Bühler, Wolfgang & Trapp, Monika, 2009. "Time-varying credit risk and liquidity premia in bond and CDS markets," CFR Working Papers 09-13, University of Cologne, Centre for Financial Research (CFR).
  76. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
  77. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  78. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
  79. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  80. Chen, Ting-Hsuan & Chou, Hsiu-Hsia & Chang, Yuan & Fang, Hao, 2015. "The effect of excess lending on bank liquidity : Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 54-68.
  81. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
  82. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  83. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
  84. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
  85. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
  86. Lucchetta, Marcella, 2015. "Does the bank risk concentration freeze the interbank system?," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 149-166.
  87. Ruoyu Cai & Mao Zhang, 2017. "How Does Credit Risk Influence Liquidity Risk? Evidence from Ukrainian Banks," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 241, pages 21-32.
  88. Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar, 2013. "US Corporate Bond Yield Spread: A default risk debate," Working Papers halshs-00798660, HAL.
  89. narjess BOUABDALLAH & jamel Eddine HENCHIRI, 2020. "L' impact des mécanismes de gouvernance interne sur le risque opérationnel bancaire," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 11(1), pages 151-189, June.
  90. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
  91. Saeed, Momna & Elnahass, Marwa & Izzeldin, Marwan & Tsionas, Mike, 2021. "Yield spread determinants of sukuk and conventional bonds," Economic Modelling, Elsevier, vol. 105(C).
  92. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
  93. Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
  94. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  95. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 07 Jan 2003.
  96. Masahiko Egami & Yasuyuki Kato & Tomochika Sawaki, 2013. "An Analysis of CDS Market Liquidity by the Hawkes Process," Discussion papers e-13-001, Graduate School of Economics Project Center, Kyoto University.
  97. Stylianos Perrakis & Rui Zhong, 2017. "Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach," European Financial Management, European Financial Management Association, vol. 23(5), pages 873-901, October.
  98. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
  99. Das, Sanjiv R. & Hanouna, Paul, 2009. "Hedging credit: Equity liquidity matters," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 112-123, January.
  100. Zhou, Yimin & Wei, Xu, 2023. "Bond liquidity, debt maturity and bond risk premium," Finance Research Letters, Elsevier, vol. 54(C).
  101. James Cataldo, 2015. "A framework for assessing comprehensive income risk exposure over varying time horizons," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 819-844, November.
  102. repec:wyi:journl:002109 is not listed on IDEAS
  103. Chacko, George & Das, Sanjiv & Fan, Rong, 2016. "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 162-178.
  104. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2016. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  105. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  106. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  107. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  108. SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen, 2013. "US Corporate Bond Yield Spread: A default risk debate," MPRA Paper 44887, University Library of Munich, Germany.
  109. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
  110. Osama Wagdi & Yasmeen Tarek, 2022. "The Integration of Big Data and Artificial Neural Networks for Enhancing Credit Risk Scoring in Emerging Markets: Evidence from Egypt," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(2), pages 1-32, February.
  111. Yeh, Chung-Ying & Yeh, Shih-Kuo & Chen, Ren-Raw, 2014. "Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 297-309.
  112. Habib, Ahsan & Ranasinghe, Dinithi, 2022. "Asset redeployability and credit ratings," Finance Research Letters, Elsevier, vol. 50(C).
  113. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
  114. Brown, Alessio J. G. & Žarnić, Žiga, 2003. "Explaining the increased German credit spread: The role of supply factors," Kiel Advanced Studies Working Papers 412, Kiel Institute for the World Economy (IfW Kiel).
  115. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
  116. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
  117. Dongcheol Kim & Inro Lee, 2020. "The financial distress pricing puzzle in banking firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1351-1384, June.
  118. Kim, Kwanho, 2017. "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 98-115.
  119. Jianping Fu & Xingchun Wang & Yongjin Wang, 2012. "Credit spreads, endogenous bankruptcy and liquidity risk," Computational Management Science, Springer, vol. 9(4), pages 515-530, November.
  120. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  121. Kavussanos, Manolis G. & Tsouknidis, Dimitris A., 2014. "The determinants of credit spreads changes in global shipping bonds," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 70(C), pages 55-75.
  122. Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
  123. Shibata, Takashi & Nishihara, Michi, 2018. "Investment timing, reversibility, and financing constraints," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 771-796.
  124. Berndt, Antje & Obreja, Iulian, 2007. "The pricing of risk in European credit and corporate bond markets," Working Paper Series 805, European Central Bank.
  125. Diasakos, Theodoros M, 2013. "Comparative Statics of Asset Prices: the effect of other assets' risk," SIRE Discussion Papers 2013-94, Scottish Institute for Research in Economics (SIRE).
  126. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
  127. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.
  128. Lovreta, Lidija & Silaghi, Florina, 2020. "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, vol. 112(C).
  129. Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
  130. Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.
  131. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  132. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
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