The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks

By Jun Liu, Francis A. Longstaff, Ravit E. Mandell. 2004

198 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a25e6abbc77b931a007f7f3af8c279625dd8702f

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1. René Garcia
2. Jean-Sébastien Fontaine

Citations in the corpus

• Bond Liquidity Premia (2012, background): “Treasury bonds and Collin-Dufresne, Goldstein, and Spencer Martin (2001); Longstaff, Mithal, and Neis(2005); andEricsson and Renault (2006) for corporate bonds.”
• Decomposing Swap Spreads (2008, unknown): “Collin-Dufresne and Solnik (2001) include swaps in the estimation and also find a negative dependence, whereas Liu, Longstaff, and Mandell (2006) use only swap and Treasury data and show a positive dependence.”
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “This interpretation is consistent with recent empirical evidence about the determinants of swap rates such as Duffie and Singleton (1997), and Liu, Longstaff, and Mandell (2004).”
• The Term Structure of Interbank Risk (2012, unknown): “10 Our paper is also related to Liu, Longstaff, and Mandell (2006), Johannes and Sundaresan (2007), and Feldhutter and Lando (2008), who study the term structure of IRS-Treasury spreads.”