Liquidity Tail Risk and Credit Default Swap Spreads
(2018)
Journal Article
Irresberger, F., Weiß, G. N., Gabrysch, J., & Gabrysch, S. (2018). Liquidity Tail Risk and Credit Default Swap Spreads. European Journal of Operational Research, 269(3), 1137-1153. https://doi.org/10.1016/j.ejor.2018.02.030
We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the asymptoti... Read More about Liquidity Tail Risk and Credit Default Swap Spreads.