Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets

Asset pricing with liquidity risk

Viral V. Acharya, Lasse Heje Pedersen · Journal of Financial Economics · 2005 · 2.9K citations

Business, Economics, Finance +17

The Determinants of Credit Spread Changes

Pierre Collin-Dufresn, Robert S. Goldstein, J. Spencer Martin · The Journal of Finance · 2001 · 2.2K citations · Full text

Business, Economics, Finance +16

An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps

Roberto Blanco, Simon Brennan · The Journal of Finance · 2005 · 1.2K citations

Business, Economics, Finance +17

How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?

Jing‐Zhi Huang · The Review of Asset Pricing Studies · 2012 · 1.1K citations · Full text

Management, Finance, Risk Management +17

Credit Swap Valuation

Darrell Duffie · Financial Analysts Journal · 1999 · 639 citations

Business, Economics, Finance +17