Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads-Reference-Cited by-同舟云学术

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Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads

Published:2014 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Badaoui Saad,Cathcart Lara,El-Jahel Lina

Publisher

Elsevier BV

Reference40 articles.

1. The Term Structure of CDS Spreads and Sovereign Credit Risk

2. Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach;S Badaoui;Journal of Banking and Finance,2013

3. Flight-to-quality or ight-to-liquidity? Evidence from the euro-area bond market;A Beber;Review of Financial Studies,2009

4. Decomposing european CDS returns;A Berndt;Review of Finance,2010

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. Inter-Market Basis Relations;Palgrave Studies in Risk and Insurance;2018

2. Informed trading, heterogeneity investment, liquidity shocks and the valuation of credit default swaps;Journal of Shanghai Jiaotong University (Science);2016-01-22

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