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- W2049865718 abstract "Credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton (1974) model via hedging. This relationship is monotone increasing when credit quality worsens. Empirical tests confirm this relationship. We theorize and confirm this new channel by means of which liquidity costs are embedded in CDS spreads." @default.
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- W2049865718 date "2007-01-01" @default.
- W2049865718 modified "2023-09-23" @default.
- W2049865718 title "Hedging Credit: Equity Liquidity Matters" @default.
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- W2049865718 doi "https://doi.org/10.2139/ssrn.1028735" @default.
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