… probability and(3) L ( t , τ ) = exp - ∫ 0 τ γ s l ds where L(t, τ) is the risk neutral liquidity
intensity. The superscript l in the liquidity intensity L(t, τ) may refer to either CDS or bond liquidity. …

A paper provides a framework for the valuation of defaultable bonds in a stochastic interest
rate environment. Default occurs the first time a signaling process reaches a certain lower …

Basel regulators have received widespread criticism for failing to prevent two credit crises
that hit the US over the last two decades. Nonetheless, banks were considerably …

We investigate how shocks to the reputation of credit rating agencies and the subsequent
introduction of stricter regulation affect investors’ reaction to rating signals. We focus on three …

The availability of credit insurance via credit default swaps has been closely associated with
the emergence of empty creditors. We empirically investigate this issue by looking at the …

In this article we analyze the slope of the term structure of credit spreads. We investigate the
explanatory role of interest rate, market, and idiosyncratic equity variables that the recent …

… We assume there is a lower threshold value x l at which the firm defaults. Default can also
… in x/x l as the higher the values of x/x l the further is x from the default threshold x l and the …

… In Cathcart and El-Jahel (1998) we have demonstrated that for long-term bonds the
assumption of normally distributed interest rates, implicit in an Ornstein-Uhlenbeck process, gives …

Structural models of default establish a relation across the fair values of various asset classes
(equity, bonds, credit derivatives) referring to the same company. In most circumstances …

In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium
specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity …