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Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity spread Liquidity Premium Credit Liquidity correlation Liquidity pricing Intensity models Reduced Form Models Capital AssetPricing Model Credit Crisis Liquidity Crisis
2010/3/3
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...