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Liquidity Premia in CDS Markets
(2017-07-14)
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...
Bundesbank
The monetary, financial and foreign trade statistics compiled within the framework of the Bundesbank's statutory mandate as well as the comprehensive indicator sets and seasonally adjusted economic data comprise a broad ...