ERM Resource |
|
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads |
financial crisis., interbank credit, interest rates, Liquidity Risk, market liquidity, money markets, Spread Risk, Spread risk, Spread Risk |
ERM Resource |
|
Modelling the liquidity premium on corporate bonds |
bid-ask spread., corporate bonds, credit spread, liquidity premium, Spread Risk, Spread risk, Spread Risk |
ERM Resource |
|
Credit Risk in the Euro Area |
credit risk., Spread Risk, Spread risk, Spread Risk |
ERM Resource |
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The Myth of the Credit Spread Puzzle |
Black-Cox model, corporate bond spreads, Credit Risk, credit spread, default probabilities;, Spread Risk, Spread risk, Spread Risk, structural models |