DefaultRisk.com the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search
Liquidity

Up Pricing Models Cr. Derivatives CDOs Correlations Recoveries Supervisory Testing Cr. Scoring Sovereign Risk Liquidity Other Computer Codes Quant. Methods Related

Submit Your Paper

In Rememberance: World Trade Center (WTC)

Downloadable Papers (sorted by date)

See the top 20 books referenced/cited in these (below listed) papers.

I've put a gray background on the top five most browsed papers in this category.   (Oct-1)

Cash Holdings and Credit Risk
by Viral V. Acharya of the New York University,
Sergei A. Davydenko of the University of Toronto, and
Ilya A. Strebulaev of the Stanford University
(453K PDF) -- 48 pages -- October 23, 2012

Risk Premia and Optimal Liquidation of Defaultable Securities
by Tim Leung of Columbia University, and
Peng Liu of Johns Hopkins University
(758K PDF) -- 30 pages -- September 25, 2012

Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and evidence on the credit default swap term structure
by Ren-Raw Chen of Fordham University,
Xiaolin Chen of Morgan Stanley, and
Liuren Wu of the City University of New York
(256K PDF) -- 24 pages -- September 2011

Funding, Liquidity, Credit and Counterparty Risk: Links and implications
by Antonio Castagna of the iason Ltd.
(256K PDF) -- 24 pages -- July 28, 2011

Interest Rate Derivative Pricing when Banks are Risky and Markets are Illiquid
by Geoffrey R. Harris of the Illinois Institute of Technology, and
Tao L. Wu of the Illinois Institute of Technology
(2,144K PDF) -- 60 pages -- May 17, 2011

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
by Jens Dick-Nielsen of Copenhagen Business School,
Peter Feldhütter of London Business School, and
David Lando of Copenhagen Business School
(638K PDF) -- 61 pages -- March 15, 2011

Derivative Pricing with Liquidity Risk: Theory and evidence from the credit default swap market
by Dion Bongaerts of RSM Erasmus University Rotterdam,
Frank De Jong of Tilburg University, and
Joost Driessen of Tilburg University
(352K PDF) -- 38 pages -- February 2011

Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010

Completing CVA and Liquidity: Firm-level positions and collateralized trades
by Chris Kenyon of DEPFA Bank Plc.
(2,511K PDF) -- 19 pages -- September 16, 2010

Risky Funding: A unified framework for counterparty and liquidity charges
by Massimo Morini of Banca IMI, and
Andrea Prampolini of Banca IMI
(562K PDF) - 16 pages -- August 30, 2010

Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of  Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010

Liquidity and Arbitrage in the Market for Credit Risk
by Amrut Nashikkar of New York University & Barclays Capital, Inc.,
Marti G. Subrahmanyam of New York University, and
Sriketan Mahanti of Orissa Group, Inc.
(283K PDF) - 58 pages -- August 15, 2010

An Extended Macro-finance Model with Financial Factors
by Hans Dewachter of the University of Leuven & Erasmus University, and
Leonardo Iania of the University of Leuven
(599K PDF) -- 58 pages -- November 2009

Illiquidity Component of Credit Risk
by Stephen Morris of Princeton University, and
Hyun Song Shin of Princeton University
(312K PDF) -- 42 pages -- September 2009

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
by Jens H.E. Christensen of the Federal Reserve Bank of San Francisco,
Jose A. Lopez of the Federal Reserve Bank of San Francisco, and
Glenn D. Rudebusch of the Federal Reserve Bank of San Francisco
(341K PDF) -- 38 pages -- June 2, 2009

Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009

Liquidating Illiquid Collateral (Job Market Paper)
by Martin Oehmke of Princeton University
(308K PDF) -- 42 pages -- December 2008

Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
by Zhi Da of the University of Notre Dame, and
Pengjie Gao of Northwestern University
(281K PDF) -- 33 pages -- June 30, 2008

Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
by Sriketan Mahanti of Orissa Group Inc.,
Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University,
George Chacko of 6S Capital GmbH, and
Gaurav Mallik of State Street Global Advisors
(475K PDF) -- 27 pages -- May 2008

Excess Volatility of Corporate Bonds
by Jack Bao of the Massachusetts Institute of Technology, and
Jun Pan of the Massachusetts Institute of Technology
(283K PDF) -- 36 pages -- February 28, 2008

Liquidity and Credit Default Swap Spreads
by Hong Yan of the University of South Carolina, and
Dragon Yongjun Tang of Kennesaw State University
(395K PDF) -- 65 pages -- August 20, 2007

Asset Liquidity, Debt Valuation and Credit Risk
by Ethan Cohen-Cole of the Federal Reserve Bank of Boston
(800K PDF) -- 38 pages -- April 2007

Liquidity Risk Premia in Corporate Bond Markets
by Frank de Jong of Tilburg University & University of Amsterdam, and
Joost Driessen of the University of Amsterdam
(222K PDF) -- 47 pages -- February 19, 2007

Corporate Yield Spreads and Bond Liquidity
by Long Chen of Michigan State University,
David A. Lesmond of Tulane University, and
Jason Wei of the University of Toronto
(169K PDF) -- 31 pages -- February 2007

Liquidity and Capital Structure
by Ronald W Anderson of the London School of Economics, and
Andrew Carverhill of Hong Kong University
(449K PDF) -- 52 pages -- January 2007

Liquidity and Credit Risk
by Jan Ericsson of McGill University, and
Olivier Renault of the London School of Economics
(298K PDF) -- 32 pages -- October 2006

Liquidity Risk in the Corporate Bond Markets
by George Chacko of Harvard University & IFL
(357K PDF) -- 47 pages -- April 2006

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
by Francis A. Longstaff of the University of California, Los Angeles,
Sanjay Mithal of Deutsche Bank, and
Eric Neis of the University of California, Los Angeles
(264K PDF) -- 68 pages -- October 2005

Asset Pricing with Liquidity Risk
by Viral V. Acharya of the London Business School, and
Lasse Heje Pedersen of New York University
(402K PDF) -- 66 pages -- August 2005

A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of the Université catholique de Louvain
(279K PDF) -- 36 pages -- Summer 2005

Liquidity, Default, Taxes and Yields on Municipal Bonds
by Junbo Wang of the City University of Hong Kong,
Chunchi Wu of Syracuse University, and
Frank Zhang of Morgan Stanley
(222K PDF) -- 53 pages -- July 8, 2005

Multi-period Corporate Short-term Credit Risk Assessment: A state-dependent stochastic liquidity balance model
by Hsien-Hsing Liao of National Taiwan University,
Tsung-Kang Chen of National Taiwan University, and
Tong-Li Chou of National Taiwan University
(329K PDF) -- 40 pages -- June 27, 2005

Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Robeco Asset Management,
Albert Mentink of Erasmus University Rotterdam & AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam Rotterdam & ABN Amro
(718K PDF) -- 41 pages -- June 2005

A Solvency Based Multi-period Corporate Short-term Credit Risk Model
by Hsien-hsing Liao of National Taiwan University, and
Tsung-kang Chen of National Taiwan University
(401K PDF) -- 46 pages -- May 9, 2005

How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005

Credit Ratings and Stock Liquidity
by Elizabeth R. Odders-White of the University of Wisconsin, and
Mark J. Ready of the University of Wisconsin
(571K PDF) -- 58 pages -- October 2004

Liquidity Risk and Arbitrage Pricing Theory
by Umut Çetin of the Technical University of Vienna,
Robert A. Jarrow of Cornell University, and
Philip Protter of Cornell University
(238K PDF) -- 31 pages -- August 2004

Liquidity Black Holes
by Stephen Morris of Yale University, and
Hyun Song Shin of the London School of Economics
(127K PDF) -- 18 pages -- March 2004

Measuring Treasury Market Liquidity
by Michael J. Fleming of the Federal Reserve Bank of New York
(335K PDF) -- 26 pages -- September 2003

Liquidity Risk and Expected Stock Returns
by Luboš Pástor of the University of Chicago, and
Robert F. Stambaugh of the University of Pennsylvania
(4,809K PDF) -- 44 pages -- June 2003

Liquidity Dynamics Across Small and Large Firms
by Tarun Chordia of Emory University,
Lakshmanan Shivakumar of the London Business School, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(1,809K PDF) -- 48 pages -- May 13, 2003

Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003

Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
by Dan Covitz of the Federal Reserve Board, and
Chris Downing of the Rice University
(248K PDF) -- 42 pages -- October 2, 2002

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
by Tibor Janosi of Cornell University,
Robert Jarrow of Cornell University, and
Yildiray Yildirim of Cornell University
(1,809K PDF) -- 38 pages -- Fall 2002

Order Imbalance, Liquidity, and Market Returns
by Tarun Chordia of Emory University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(162K PDF) -- 20 pages -- July 2002

Liquidation Risk
by Darrell Duffie of Stanford University, and
Alexandre Ziegler of the University of Lausanne
(125K PDF) -- 14 pages -- August 20, 2001

Can Liquidity Risk be Subsumed in Credit Risk? A case study from Brady bond prices
by Henri Pagès of the Bank for International Settlement
(510K PDF) -- 27 pages -- July 2001

Bank Runs, Deposit Insurance, and Liquidity
by Douglas W. Diamond of the University of Chicago and
Philip H. Dybvig of Washington University in St. Louis
(137K PDF) -- 9 pages -- Winter 2000

Commonality in Liquidity
by Tarun Chordia of Vanderbilt University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(175K PDF) -- 26 pages -- April 2000

Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
by Sugato Chakravarty of Purdue University, and
Asani Sarkar of Federal Reserve Bank of New York
(192K PDF) -- 43 pages -- March 15, 1999

Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of the University of Pennsylvania & the Oliver Wyman Institute,
Til Schuermann of Oliver, Wyman & Company, and
John D. Stroughair of Oliver, Wyman & Company
(115K PDF) -- 16 pages -- December 21, 1998

A Simple Model of Liquidity Effects
by L. C. G. Rogers of the University of Bath, and
Omar Zane of the University of Bath
(180K PDF) -- 14 pages -- August 1998

Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
by Shing-yang Hu of National Taiwan University & University of Chicago
(109K PDF) -- 29 pages -- January 1997

Risk Aversion, Liquidity, and Endogenous Short Horizons
by Craig W. Holden of Indiana University, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(405K PDF) --32 pages -- Summer 1996

The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US
by Stephen R. Foerster at the University of Western Ontario and,
G. Andrew Karolyi at the Ohio State University
(204K PDF) -- 63 pages -- February 1996

Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market
by Jacob Boudoukh of New York University, and
Robert F. Whitelaw of New York University
(314K PDF) -- 28 pages -- Summer 1993

Additional References (sorted by author)

Amihud, Yakov and Haim Mendelson, "Liquidity, Maturity, and the Yields on U.S. Treasury Securities", Journal of Finance, Vol. 46, No. 4, (September 1991), pp. 1411-1425.

Boudoukh, Jacob, Matthew Richardson, Tom Smith, and Robert F. Whitelaw, "Ex Ante Bond Returns and the Liquidity Preference Hypothesis", Journal of Finance, Vol. 54, No. 3, (June 1999), pp. 1153-1167.

Brennan, Michael J. and Avanidhar Subrahmanyam, "Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics, Vol. 41, (1996), pp. 441-464.

Cherubini, Umberto and Giovanni Della Lunga, "Liquidity and Credit Risk", Applied Mathematical Finance, Vol. 8, No. 2, (May 2001), pp. 79-95.

Crabbe, Leland E. and Christopher M. Turner, "Does the Liquidity of a Debt Issue Increase with Its Size? Evidence from the Corporate Bond and Medium-Term Note Markets", Journal of Finance, Vol. 50, No. 5, (December 1995), pp. 1719-1734.

Diamond, Douglas W. and Raghuram G. Rajan, "Liquidity Risk, Liquidity Creation and Financial Fragility: A theory of banking", Journal of Political Economy, Vol. 109, No. 2, (April 2001), pp. 287-327.

Easley, David, Nicholas M. Kiefer, Maureen O'Hara, and Joseph B. Paperman, "Liquidity, Information, and Infrequently Traded Stocks", Journal of Finance, Vol. 51, No. 4, (September 1996), pp. 1405-1436.

Gorton, Gary, Andrew Metrick, "Securitized Banking and the Run on Repo", Journal of Financial Economics, Vol. 104, No. 3, (June 2012), pp. 425-451.

Jacoby, Gady, David J. Fowler, and Aron A. Gottesman, "The Capital Asset Pricing Model and the Liquidity Effect: A theoretical approach", Journal Of Financial Markets, Vol. 3, No. 1, (February 2000), pp. 69-81.

Kamara, Avraham, "Liquidity, Taxes, and Short-Term Treasury Yields", Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, (September 1994), pp. 403-417.

Lesplingart, Clothilde, Christophe Majois, Mikael Petitjean, "Liquidity and CDS Premiums on European Companies Around the Subprime Crisis ", Review of Derivatives Research, Vol. 15, No. 3, (October 2012), pp. 257-281.

Longstaff, Francis A., "How Much Can Marketability Affect Security Values?", Journal of Finance, Vol. 50, No. 5, (December 1995), pp. 1767-1774.

Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Vol. 103, No. 3, (March 2012), pp. 611-631.

Sarig, Oded and Arthur Warga, "Bond Price Data and Bond Market Liquidity", Journal of Financial and Quantitative Analysis, Vol. 24, No. 3, (September 1989), pp. 367-378.

Shleifer, Andrei and Robert W. Vishny, "Liquidation Values and Debt Capacity: A Market Equilibrium Approach", Journal of Finance, Vol. 47, No. 4, (September 1992), pp. 1343-1366.

 

[ Home ] [ Search ]

Please contact me with problems or suggestions.
Copyright © 2000-2013 DefaultRisk.com