Collateral constraints, tranching, and price bases

Author:

Gong Feixue,Phelan GregoryORCID

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics

Reference36 articles.

1. Araujo, A., Kubler, F., Schommer, S.: Regulating collateral-requirements when markets are incomplete. J. Econ. Theory 147(2), 450–476 (2012)

2. Bai, J., Collin-Dufresne, P.: The cds-bond basis, american Financial Association 2013 San Diego Meetings Paper (2013)

3. Blanco, R., Brennan, S., Marsh, I.W.: An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. J. Finance 60(5), 2255–2281 (2005)

4. Boyarchenko, N., Gupta, P., Yen, J.: Trends in arbitrage-based measures of bond liquidity. http://libertystreeteconomics.newyorkfed.org/2017/01/trends-in-arbitrage-based-measures-of-bond-liquidity.html, federal Reserve Bank of New York Liberty Street Economics (blog) (2017)

5. Brumm, J., Grill, M., Kubler, F., Schmedders, K.: Collateral requirements and asset prices. Int. Econ. Rev. 56(1), 1–25 (2015)

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