THE IMPACT OF LIQUIDITY RISK ON THE PRICES OF SWAPS WITH DEFAULT RISK

机译：液体风险对违约掉期价格的影响

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The counterparty default risk is an important concern in swaps market. If default occurs, the default party may have the right to sell the swap to a third party. However, it is possible that the default party is not able to sell the swap, given the individualization of swap agreements in the OTC market, and so there is an exposure of liquidity risk.

机译：交易对手违约风险是掉期市场中的一个重要问题。如果发生违约，则违约方可能有权将掉期出售给第三方。但是，考虑到场外交易市场中掉期协议的个性化，违约方可能无法出售掉期，因此存在流动性风险。

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来源
《4th International Conference on Management May 5-7, 2001 Xi'an, China》|2001年|p.584-592|共9页
会议地点 Xian(CN);Xian(CN)
作者
George L. Ye;
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作者单位

The Frank H. Sobey Faculty, CommerceSaint Mary's University, Halifax, Nova Scotia, B3H 3C3 Canada;

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会议组织
原文格式 PDF
正文语种 eng
中图分类 C9;
关键词
liquidity risk; swap market;

机译：流动性风险;掉期市场;

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2. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market [J] . DION BONGAERTS, FRANK DE JONG, JOOST DRIESSEN Journal of Finance . 2011,第1期

机译：具有流动性风险的衍生定价：信用违约掉期市场的理论和证据
3. The impact of central clearing on counterparty risk, liquidity,and trading: Evidence from the credit default swap market [J] . Yee Cheng Loon, Zhaodong Ken Zhong Journal of financial economics . 2014,第1期

机译：中央清算对交易对手风险，流动性和交易的影响：来自信用违约掉期市场的证据
4. THE IMPACT OF LIQUIDITY RISK ON THE PRICES OF SWAPS WITH DEFAULT RISK [C] . George L. Ye International conference on management . 2001

机译：流动性风险对违约风险的交换价格的影响
5. Pricing Credit Default Swaps with Counterparty Risks [D] . Zhao, Shuai. 2017

机译：定价信用违约掉期具有交易对手风险
6. Credit Default Swaps networks and systemic risk [O] . Michelangelo Puliga, Guido Caldarelli, Stefano Battiston -1

机译：信用违约掉期网络和系统性风险
7. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market ∗ [O] . Dion Bongaerts, Frank Jong, Joost Driessen 2010

机译：具有流动性风险的衍生定价：信用违约掉期市场的理论和证据

THE IMPACT OF LIQUIDITY RISK ON THE PRICES OF SWAPS WITH DEFAULT RISK

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