Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
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- 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,"
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- 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.
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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-ALL-2008-01-05 (All new papers)
- 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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