Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

Seit Erscheinen der vorigen Auflage ist die Flut an neuen Regulierungsvorschriften nicht
zum Stillstand gekommen. Die Regelungsinhalte sollen nach wie vor zahlreiche Defizite, die …

When the term structure of credit spreads is used in a panel vector autoregression model,
Granger causality tests provide strong evidence of bi-directional relationships among CDS …

The introduction of exchange‐traded credit default swap (CDS) index futures is eminent and
this development in the credit market is the subject of this article. A theoretically appealing …

近年来, 一个新的金融研究视角逐渐发展起来, 这就是对金融资产价格信息含量的提炼.
尽管尚未形成系统的研究领域, 但2000 年以来大量的金融学文献致力于从各种金融资产的市场 …

With the removal of capital market restrictions, listing of domestic firms in foreign markets,
and privatization of stateowned companies, there has been a greater integration of …

Using a Markov switching unobserved component model we decompose the term premium
of the North American CDX investment grade index (CDX-IG) into a permanent and a …

No-arbitrage relationships characterize relative prices of credit default swaps (“CDSs”) vis-à-
vis bonds and equities issued by the same reference entities. We review the empirical …

Heterogeneity and Rationality of Survey Forecast in The Money Market : Evidence from the UK
Interbank Rates Page 1 Information Flow across Credit Default Swap, Bond and Stock Markets …