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Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

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NBER2014-11-01 更新2025-01-04 收录
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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

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2014-11-01
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