Modelling the liquidity premium on corporate bonds
نویسندگان
چکیده
منابع مشابه
Is There a Risk Premium in Corporate Bonds?
1 Most of the models using option pricing techniques assume a zero risk premium. assume that any risk premium impounded in corporate spreads is captured by adjusting transition probabilities.
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We present a new measure of liquidity known as “latent liquidity” and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, where the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predict...
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ژورنال
عنوان ژورنال: Annals of Actuarial Science
سال: 2015
ISSN: 1748-4995,1748-5002
DOI: 10.1017/s1748499514000347