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Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity spread Liquidity Premium Credit Liquidity correlation Liquidity pricing Intensity models Reduced Form Models Capital AssetPricing Model Credit Crisis Liquidity Crisis
2010/4/27
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...