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題名：透過信用違約交換報價與公司債殖利率萃取流動性風險因子之探討
書刊名：臺大管理論叢
作者：葉宗穎／陳仁遶／林丙輝／葉仕國
作者(外文)：Yeh, Chung-ying／Chen, Ren-raw／Lin, Bing-huei／Yeh, Shih-kuo
出版日期：2022
卷期：32:1
頁次：頁1-43
主題關鍵詞：信用違約交換；公司債殖利率；流動性風險；卡爾曼濾波；Credit default swap；Corporate bond yield；Liquidity risk；Kalman filter
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:5
  • 點閱點閱:4
期刊論文
1.Ericsson, J.、Jacobs, K.、Oviedo, R.(2009)。The Determinants of Credit Default Swap Premia。Journal of Financial and Quantitative Analysis，44(1)，109-132。  new window
2.Lin, Ji-Chai、Sanger, Gary C.、Booth, Geoffrey G.(1995)。Trade size and components of the bid-ask spread。Review of Financial Studies，8(4)，1153-1183。  new window
3.Chen, Ren-Raw、Fabozzi, Frank J.、Sverdlove, Ronald(2010)。Corporate Credit Default Swap Liquidity and Its Implications for Corporate Bond Spreads。Journal of Fixed Income，20(2)，31-57。  new window
4.Blanco, Roberto、Brennan, Simon、Marsh, Ian W.(2005)。An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps。The Journal of Finance，60(5)，2255-2281。  new window
5.Arora, N.、Gandhi, P.、Longstaff, F. A.(2012)。Counterparty credit risk and the credit default swap market。Journal of Financial Economics，103(2)，280-293。  new window
6.Zhu, Hai-Bin(2006)。An empirical comparison of credit spreads between the bond market and the credit default swap market。Journal of Financial Services Research，29(3)，211-235。  new window
7.Huang, Jingzhi、Huang, Ming(2012)。How much of the corporate-treasury yield spread is due to credit risk?。The Review of Asset Pricing Studies，2(2)，153-202。  new window
8.何殷如(20121100)。全面解讀信用違約交換（CDS）。證券暨期貨月刊，30(11)，37-52。  延伸查詢new window
9.Ronen, T.、Zhou, X.(2013)。Trade and information in the corporate bond market。Journal of Financial Markets，16(1)，61-103。  new window
10.林丙輝、張森林、葉仕國(20161200)。臺灣衍生性金融商品定價、避險與套利文獻回顧與展望。臺大管理論叢，27(1)，255-304。new window  延伸查詢new window
11.林丙輝、張森林、葉仕國(20170600)。臺灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-257。new window  延伸查詢new window
12.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。Journal of Finance，61(4)，1645-1680。  new window
13.Augustin, Patrick、Subrahmanyam, Marti G.、Tang, Dragon Y.、Wang, Sarah Q.(2014)。Credit default swaps: A survey。Foundations and Trends® in Finance，9(1/2)，1-196。  new window
14.Hull, John、Predescu, Mirela、White, Alan(2004)。The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements。Journal of Banking and Finance，28(11)，2789-2811。  new window
15.林士貴、莊明哲、方東杰(20210400)。Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts。臺大管理論叢，31(1)，117-153。new window  new window
16.劉啟群、吳思蓉(20200100)。The Impact of the 2008 Financial Crisis and Regulation Reforms on Loan Growth: Evidence from the Effect of Capital。會計評論，70，1-42。new window  new window
17.Silva, P. P.、Vieira, C.、Vieira, I. V.(2016)。The EU ban on uncovered sovereign credit default swaps: Assessing impacts on liquidity, volatility, and price discovery。The Journal of Derivatives，23(4)，74-98。  new window
18.Qiu, Jiaping、Yu, Fan(2012)。Endogenous liquidity in credit derivatives。Journal of Financial Economics，103(3)，611-631。  new window
19.Anderson, Mike(2017)。What drives the commonality between credit default swap spread changes?。Journal of Financial and Quantitative Analysis，52(1)，243-275。  new window
20.Aragon, G. O.、Li, L.、Qian, J. Q.(2019)。The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk。Journal of Financial Economics，131(1)，168-185。  new window
21.Bai, Jennie、Wu, Liuren(2016)。Anchoring credit default swap spreads to firm fundamentals。Journal of Financial and Quantitative Analysis，51(5)，1521-1543。  new window
22.Berndt, A.、Douglas, R.、Duffie, D.、Ferguson, M.(2018)。Corporate credit risk premia。Review of Finance，22(2)，419-454。  new window
23.Bongaerts, D.、de Jong, F.、Driessen, J.(2011)。Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market。The Journal of Finance，66(1)，203-240。  new window
24.Carr, Peter、Wu, Liuren(2016)。Analyzing volatility risk and risk premium in option contracts: A new theory。Journal of Financial Economics，120(1)，1-20。  new window
25.Ericsson, J.、Reneby, J.、Wang, H.(2015)。Can structural models price default risk? Evidence from bond and credit derivative markets。The Quarterly Journal of Finance，5(3)，(1550007)1-(1550007)32。  new window
26.Irresberger, F.、Weiß, G. N. F.、Gabrysch, J.、Gabrysch, S.(2018)。Liquidity tail risk and credit default swap spreads。European Journal of Operational Research，269(3)，1137-1153。  new window
27.Jankowitsch, R.、Nagler, F.、Subrahmanyam, M. G.(2014)。The determinants of recovery rates in the US corporate bond market。Journal of Financial Economics，114(1)，155-177。  new window
28.Jiang, Wei、Ou, Jitao、Zhu, Zhongyan(2021)。Mutual fund holdings of credit default swaps: Liquidity, yield, and risk。The Journal of Finance，76(2)，537-586。  new window
29.Kim, Kwanho(2017)。Liquidity basis between credit default swaps and corporate bonds markets。International Review of Economics & Finance，48，98-115。  new window
30.Lin, Hai、Liu, Sheen、Wu, Chunchi(2011)。Dissecting corporate bond and CDS spreads。The Journal of Fixed Income，20(3)，7-39。  new window
31.Longstaff, Francis A.、Mithal, Sanjay、Neis, Eric(2005)。Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market。The Journal of Finance，60(5)，2213-2253。  new window
32.Lovreta, Lidija(2016)。Demand-supply imbalances in the credit default swap market: Empirical evidence。The European Journal of Finance，22(1)，28-58。  new window
33.Mateev, Miroslav(2019)。Volatility relation between credit default swap and stock market: New empirical tests。Journal of Economics and Finance，43(4)，681-712。  new window
會議論文
1.Tang, Dragon Yongjun、Yan, Hong(2007)。Liquidity and credit default swap spreads。The annual meeting of the American Finance Association。  new window
研究報告
1.Aunon-Nerin, Daniel、Cossin, Didier、Hricko, Tomas、Huang, Zhijiang(2002)。Exploring for the determinants of credit risk in credit default swap transaction data: Is fixed-income markets' information sufficient to evaluate credit risk?。International Center for Financial Asset Management and Engineering。  new window
2.Bühler, Wolfgang、Trapp, Monika(2009)。Time-varying credit risk and liquidity premia in bond and CDS markets。Centre for Financial Research, University of Cologne。  new window
3.Junge, B.、Trolle, A. B.(2015)。Liquidity risk in credit default swap markets。Swiss Finance Institute。  new window
4.Kamga, Christel Merlin Kuate、Wilde, Christian(2017)。Liquidity premia in CDS markets。Leibniz Institute for Financial Research SAFE。  new window
單篇論文
1.Chen, Ren-Raw，Cheng, Xiaolin，Wu, Liuren(2005)。Dynamic interactions between interest rate, credit, and liquidity risks: Theory and evidence from the term structure of credit default swap spreads，http://dx.doi.org/10.2139/ssrn.779445。  new window
 
 
 
 
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