The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

By Jun Liu, Francis A. Longstaff, Ravit E. Mandell. 2000

116 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/99f7bd45b2e0c7f425fd6e5043eaa51fb266e05e

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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

• Is Default Event Risk Priced in Corporate Bonds (2003, unknown): “This is in line with the liquidity time series of Liu, Longstaff, and Mandell (2001).”
• Equity Volatility and Corporate Bond Yields (2002, unknown): “They can be ¢t econometrically to data on swap spreads and corporate bond yields (Jarrow and Turnbull (1995), Du⁄e and Singleton (1997, 1999), Du¡ee (1999), Liu, Longsta¡, and Mandell (2000)).”
• Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “…Elton, Gruber, Agrawal, and Mann (2001), Collin-Dufresne, Goldstein, and Martin (2001), Perraudin and Taylor (2003), Eom, Helwege, and Huang (2004), Liu, Longstaff, and Mandell (2004), Houweling, Mentink, and Vorst (2005), Longstaff, Mithal, and Neis (2005), De Jong and Driessen (2006), Edwards,…”