Essays about: "U.S. corporate bonds"
Found 4 essays containing the words U.S. corporate bonds.
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1. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market
University essay from Lunds universitet/Matematisk statistikAbstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE
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2. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. READ MORE
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3. A Conditional Analysis of Liquidity on Quality in the U.S. Corporate Bond Universe
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Why are high-yield bonds more severely hit by large liquidity dry outs than investment grade bonds? This study investigates the effects of liquidity shocks on returns in the U.S. corporate bond market during times of heightened liquidity stress, using a comprehensive data set of 13,500 bonds between October 2004 and September 2013. READ MORE
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4. The Decoupling of the CDS and Bond Markets: An Empirical Study of the CDS-Bond Basis of the Credit Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We examine determinants of the credit default swap (CDS) prices, bond credit spreads and the CDS-bond basis of 62 U.S. firms during the period 2007 to 2009. We try to explain the basis by employing credit risk factors from structural models and by introducing a control for market liquidity as well as a funding liquidity factor. READ MORE