Decomposing the Default Risk and Liquidity Components of Interest Rate Swap Spreads-Reference-Cited by-同舟云学术

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Decomposing the Default Risk and Liquidity Components of Interest Rate Swap Spreads

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Li Xiaofei

Publisher

Elsevier BV

Reference64 articles.

1. Liquidity and asset prices: �nancial management implications;Y Amihud;Financial Management, Spring,1988

2. Liquidity, maturity, and the yields on U.S. Treasury securities;Y Amihud;Journal of Finance,1991

3. Interest rate swaps: an alternative explanation;M Arak;Financial Management,1988

4. An economic analysis of interest rate swaps;J Bicksler;Journal of Finance,1986

5. Counterparty credit risk in interest rate swaps during times of market stress;A N Bom�m;Finance and Economics Discussion Series,2002

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Decomposing swap spreads;Journal of Financial Economics;2008-05

2. Decomposing Swap Spreads;SSRN Electronic Journal;2007

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