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Arakelyan et al., 2015 - Google Patents

The reward for trading illiquid maturities in credit default swap markets

Arakelyan et al., 2015

Document ID
2232888060095153793
Author
Arakelyan A
Rubio G
Serrano P
Publication year
Publication venue
International Review of Economics & Finance

External Links

Snippet

This paper analyzes the risk of trading in the illiquid part of the credit default swap (CDS) term structure, especially when investors cannot unwind their positions due to exogenous liquidity shocks. To assess the size of this illiquidity premium, we construct credit-quality …
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