Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
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- Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Chen, Zhihua & Lookman, Aziz & Schürhoff, Norman & Seppi, Duane J, 2012. "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers 9108, C.E.P.R. Discussion Papers.
- Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
- Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013.
"Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis,"
Journal of International Money and Finance,
Elsevier, vol. 35(C), pages 124-145.
- Ã“scar Arce & Sergio Mayordomo & Juan Ignacio PeÃ±a, 2012. "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers 22/12, School of Economics and Business Administration, University of Navarra.
- Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011.
"The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 17(9-10), pages 851-881, November.
- Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2010. "The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
- Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011. "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
More about this item
Keywordsexcess co-movement; financial crises; funding liquidity; inventory risk; market liquidity;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2008-01-05 (Corporate Finance)
- NEP-FMK-2008-01-05 (Financial Markets)
- NEP-MST-2008-01-05 (Market Microstructure)
- NEP-RMG-2008-01-05 (Risk Management)
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