Open AccessCorporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Author(s) -
Francis A. Longstaff,
Sanjay Mithal,
Eric Neis
Publication year - 2004
Language(s) - English
Resource type - Reports
DOI - 10.3386/w10418
Subject(s) - credit default swap , itraxx , credit default swap index , business , market liquidity , credit risk , financial system , default risk , swap (finance) , yield (engineering) , synthetic cdo , monetary economics , financial economics , economics , credit valuation adjustment , finance , credit reference , materials science , metallurgy