Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
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Cited by:
- Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
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Keywords
Liquidität; Credit Spread; Z-Spread; Corporate Bond; Finanzmarktkrise; Subprime-Krise; Svensson-Verfahren; Nelson/Siegel-Verfahren; Spot Rate; Zinsstrukturkurve; Swap Rate; Pricing Error; Credit Spread Puzzle; Emissionsvolumen; Bondalter; On-the-Run; Off-the-Run; Rating; Ratingzusatz; Markov-Eigenschaft; Expected Loss;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GER-2010-06-18 (German Papers)
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