Liquidity and Arbitrage in the Market for Credit Risk

By Amrut J. Nashikkar, Marti G. Subrahmanyam, Sriketan Mahanti. 2011

134 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/45bc2a2258647fb7cab1f22d94ba8b03955d973b

How researchers see this paper

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In Finance

1. R. Jankowitsch
2. Marti G. Subrahmanyam
3. N. Friewald
4. Zhiguo He
5. Konstantin W. Milbradt

Citations in the corpus

• Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, methodology): “…prominent examples come to mind: using CDS spreads in the context of a reduced-form credit risk model, as in Longstaff, Mithal, and Neis (2005) and Nashikkar, Subrahmanyam, and Mahanti (2011), or using accounting-based and equity-related data in a structural model context, as in Huang and Huang…”