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A model of corporate bond pricing with liquidity and marketability risk

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  • TYCHON, Pierre
  • VANNETELBOSCH, Vincent

Abstract

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Suggested Citation

  • TYCHON, Pierre & VANNETELBOSCH, Vincent, 2005. "A model of corporate bond pricing with liquidity and marketability risk," LIDAM Reprints CORE 1776, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1776
    DOI: 10.1111/j.1540-6261.2005.00797.x
    Note: In : Journal of Credit Risk, 1(3), 3-35, 2005
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    Cited by:

    1. Xiaoping Min & Min Ji, 2022. "The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach," Risks, MDPI, vol. 10(7), pages 1-16, June.
    2. Jianping Fu & Xingchun Wang & Yongjin Wang, 2012. "Credit spreads, endogenous bankruptcy and liquidity risk," Computational Management Science, Springer, vol. 9(4), pages 515-530, November.
    3. Baviera, Roberto & Nassigh, Aldo & Nastasi, Emanuele, 2021. "A closed formula for illiquid corporate bonds and an application to the European market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).

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