This study empirically examines the impact of the interaction between market and default
risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that …

We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and
short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower …

Euro-area sovereign bond and interbank interest rate spreads spiked in the 2007–2009
Global Financial Crisis and the subsequent European Debt Crisis, substantially elevating …

This paper decomposes the explained part of the CDS spread changes of 32 listed euro
area banks according to various risk drivers. The choice of the credit risk drivers is inspired …

A classic book on credit risk management is updated to reflect the current economic crisis
Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit …

We study the determination of liquidity provision in the single-name credit default swap
(CDS) market as measured by the number of distinct dealers providing quotes. We find that …

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show
that, in the presence of inventory risk for dealers and search costs for investors, traded prices …

US corporate credit default swap (CDS) spreads have significantly increased since the
beginning of the COVID-19 global pandemic. This paper shows that the magnitude of the …

Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to
disentangle the two factors empirically. In this paper we separate out the credit risk …

We examine the relationships between credit default swap (CDS) premiums and bond yield
spreads for nine emerging market sovereign borrowers. We find that these two measures of …