Arbeitspapier
Time-varying credit risk and liquidity premia in bond and CDS markets
We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity. CDS liquidity has important consequences for the bond credit risk and liquidity components. Besides the credit risk link, we document a liquidity link between the bond and the CDS market. Liquidity in both markets dries up as credit risk increases, and higher bond market liquidity leads to lower CDS market liquidity. Ignoring CDS liquidity results in partly negative liquidity premia, particularly when CDS liquidity is low.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR working paper ; No. 09-13
- Klassifikation
-
Wirtschaft
- Thema
-
Anleihe
Credit Default Swap
Kreditrisiko
Marktliquidität
Rentenmarkt
Dekompositionsverfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bühler, Wolfgang
Trapp, Monika
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bühler, Wolfgang
- Trapp, Monika
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2009
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