Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
收藏NBER2014-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20638
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资源简介：
We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk and
提供机构：
美国国家经济研究局
创建时间：
2014-11-01
