Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves

Author:

Lin Mucai,Hong Zhiwu,Su Ge

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Bond’s liquidity and default risk correlation premium and empirical test;Ai;Journal of Management Sciences in China,2015

2. Credit risk, interest rate risk, and the business cycle;Alessandrini;Journal of Fixed Income,1999

3. Extending the merton model: A hybrid approach to assessing credit quality;Benos;Mathematical and Computer Modelling,2007

4. Market liquidity and funding liquidity;Brunnermeier;The Review of Financial Studies,2009

5. Quantifying liquidity and default risks of corporate bonds over the business cycle;Chen;The Review of Financial Studies,2018

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