• 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 ...
    • Mutual Excitation in Eurozone Sovereign CDS 

      Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana (2014-05-01)
      We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...