Auflistung LIF-SAFE Working Papers nach Autor "Kamga, Merlin Kuate"
Anzeige der Dokumente 1-1 von 1
-
Liquidity Premia in CDS Markets
Kamga, Merlin Kuate; Wilde, Christian (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 ...