Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

323 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “Furthermore, Bongaerts, Driessen, de Jong (2011) ﬁnd that there are also liquidity components in CDS spreads.”
Illiquidity Premia in the Equity Options Market (2018, background): “An alternative to the use of relative spreads as an illiquidity measure is Amihud’s (2002) illiquidity measure, the price impact value, which is also considered by Bongaerts et al. (2010).”
Credit Default Swaps: A Survey (2014, background): “10Bongaerts et al. [2011] report similar evidence that banks (insurance companies and funds) are foremost net buyers (sellers) of corporate CDS.”
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, unknown): “Bongaerts et al. [2011] show that indeed, the sellers of CDS contract earn certain liquidity premium.”