| ERM Resource |
|
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads |
financial crisis.interbank creditinterest ratesLiquidity Riskmarket liquiditymoney marketsSpread RiskSpread RiskSpread risk |
| ERM Resource |
|
Modelling the liquidity premium on corporate bonds |
bid-ask spread.corporate bondscredit spreadliquidity premiumSpread RiskSpread riskSpread Risk |
| ERM Resource |
|
Credit Risk in the Euro Area |
credit risk.Spread RiskSpread riskSpread Risk |
| ERM Resource |
|
The Myth of the Credit Spread Puzzle |
Black-Cox modelcorporate bond spreadsCredit Riskcredit spreaddefault probabilities;Spread riskSpread RiskSpread Riskstructural models |