19. Liquidity Modeling for Credit Default Swaps: An Overview

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Damiano Brigo,
  2. Mirela Predescu2 and
  3. Agostino Capponi3

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch19

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Liquidity Modeling for Credit Default Swaps: An Overview, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch19

Author Information

  1. 2

    BNP Paribas, London

  2. 3

    School of Industrial Engineering, Purdue University

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • liquidity rate processes;
  • liquidity reduction;
  • systemic liquidity;
  • arbitrage pricing theory;
  • forward rate agreements

Summary

This chapter contains sections titled:

  • Introduction

  • Liquidity as a Spread in Reduced-Form Models

  • Liquidity through the CAPM Framework

  • Regression-Based Approaches for Measuring CDS Liquidity

  • Discussion, Conclusions, and Further Research

  • Acknowledgments

  • Notes