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Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
Gann, Philipp
credit markets / credit riskResource overview

Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Paper2010

by Gann, Philipp

Tags
credit marketscredit riskfixed incomeliquidityliquidity riskpanel data

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Suggested foundations for rates and fixed income and market microstructure and execution. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  3. Order Books

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  4. Order Flow and Adverse Selection

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Market Impact

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