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We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and nd that liquidity eects account for approximately 14% of the explained market-wide corporate yield spread changes. We conclude that the economic impact of the liquidity measures is signicantly larger in periods of crisis, and for speculative grade bonds.
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more prono
Ch. 1. An evolutionary perspective on the concept of risk, uncertainty and risk management / Oliviero Roggi and Omar Ottonelli -- ch. 2. Toward a bottom-up appr
We describe and contrast three different measures of an institution's credit risk. "Insolvency risk" is the conditional probability of default due to deteriorat
During the recent financial crisis that erupted in mid-2007, credit default swap spreads increased by several hundred basis points, accompanied by a liquidity s
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics