{"id":"https://openalex.org/W2322286309","doi":"https://doi.org/10.3905/jfi.2010.20.2.031","title":"Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads","display_name":"Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads","publication_year":2010,"publication_date":"2010-09-29","ids":{"openalex":"https://openalex.org/W2322286309","doi":"https://doi.org/10.3905/jfi.2010.20.2.031","mag":"2322286309"},"language":"en","primary_location":{"id":"doi:10.3905/jfi.2010.20.2.031","doi":"https://doi.org/10.3905/jfi.2010.20.2.031","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jfi.2010.20.2.031","pdf_url":null,"source":{"id":"https://openalex.org/S99789271","display_name":"The Journal of Fixed Income","issn_l":"1059-8596","issn":["1059-8596","2168-8648"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Fixed Income","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5024041995","display_name":"Ren\u2010Raw Chen","orcid":"https://orcid.org/0000-0002-5613-4097","observed_orcids":["https://orcid.org/0000-0002-5613-4097"]},"institutions":[{"id":"https://openalex.org/I164389053","display_name":"Fordham University","ror":"https://ror.org/03qnxaf80","country_code":"US","type":"education","lineage":["https://openalex.org/I164389053"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ren-Raw Chen","raw_affiliation_strings":["the Graduate School of Business at Fordham University in New York, NY. rchen@fordham.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"the Graduate School of Business at Fordham University in New York, NY. rchen@fordham.edu","institution_ids":["https://openalex.org/I164389053"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465","observed_orcids":["https://orcid.org/0000-0002-2827-1465"]},"institutions":[{"id":"https://openalex.org/I32971472","display_name":"Yale University","ror":"https://ror.org/03v76x132","country_code":"US","type":"education","lineage":["https://openalex.org/I32971472"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["is a professor in the Practice of Finance at the Yale School of Management in New Haven, CT. frank.fabozzi@yale.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a professor in the Practice of Finance at the Yale School of Management in New Haven, CT. frank.fabozzi@yale.edu","institution_ids":["https://openalex.org/I32971472"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066472577","display_name":"Ronald Sverdlove","orcid":"https://orcid.org/0000-0003-3633-8153","observed_orcids":["https://orcid.org/0000-0003-3633-8153"]},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ronald Sverdlove","raw_affiliation_strings":["is an assistant professor of finance at the School of Management at the New Jersey Institute of Technology in Newark, NJ. ronald.sverdlove@njit.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is an assistant professor of finance at the School of Management at the New Jersey Institute of Technology in Newark, NJ. ronald.sverdlove@njit.edu","institution_ids":["https://openalex.org/I118118575"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.8006,"has_fulltext":false,"cited_by_count":58,"citation_normalized_percentile":{"value":0.97004189,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"20","issue":"2","first_page":"31","last_page":"57"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":0.9929999709129333},{"id":"https://openalex.org/keywords/corporate-bond-spreads","display_name":"corporate bond spreads","score":0.8759999871253967},{"id":"https://openalex.org/keywords/bid-ask-spread","display_name":"bid-ask spread","score":0.8199999928474426},{"id":"https://openalex.org/keywords/credit-risk-pricing","display_name":"credit risk pricing","score":0.6809999942779541},{"id":"https://openalex.org/keywords/liquidity-spread","display_name":"liquidity spread","score":0.718999981880188},{"id":"https://openalex.org/keywords/corporate-bonds","display_name":"corporate bonds","score":0.6840000152587891},{"id":"https://openalex.org/keywords/cds-premium","display_name":"CDS premium","score":0.597000002861023},{"id":"https://openalex.org/keywords/two-factor-model","display_name":"two-factor model","score":0.6520000100135803}],"concepts":[{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.8323994278907776},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.7980411052703857},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.6691173911094666},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.6592870950698853},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6498514413833618},{"id":"https://openalex.org/C2780999293","wikidata":"https://www.wikidata.org/wiki/Q6503112","display_name":"Corporate bond","level":3,"score":0.6493462920188904},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.6450587511062622},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6424322128295898},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.6071608066558838},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5822368264198303},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.4696594476699829},{"id":"https://openalex.org/C190896228","wikidata":"https://www.wikidata.org/wiki/Q6557509","display_name":"Liquidity premium","level":4,"score":0.4243423342704773},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4210377335548401},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.3872154951095581},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.311443030834198},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.296908438205719},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22902175784111023}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3905/jfi.2010.20.2.031","doi":"https://doi.org/10.3905/jfi.2010.20.2.031","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jfi.2010.20.2.031","pdf_url":null,"source":{"id":"https://openalex.org/S99789271","display_name":"The Journal of Fixed Income","issn_l":"1059-8596","issn":["1059-8596","2168-8648"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Fixed Income","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.452.5864","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.452.5864","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.finance-innovation.org/risk08/files/6587724.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W52656046","https://openalex.org/W168581095","https://openalex.org/W1543441353","https://openalex.org/W1556819441","https://openalex.org/W1629883981","https://openalex.org/W1832337248","https://openalex.org/W1971937165","https://openalex.org/W1977435747","https://openalex.org/W2000151764","https://openalex.org/W2035857251","https://openalex.org/W2080132449","https://openalex.org/W2092000189","https://openalex.org/W2099366283","https://openalex.org/W2103313816","https://openalex.org/W2132503803","https://openalex.org/W2155797117","https://openalex.org/W2162128050","https://openalex.org/W2182758458","https://openalex.org/W2595915841","https://openalex.org/W2606985126","https://openalex.org/W2661702847","https://openalex.org/W2788667447","https://openalex.org/W3021444882","https://openalex.org/W3121214655","https://openalex.org/W3121328583","https://openalex.org/W3121609987","https://openalex.org/W3122699700","https://openalex.org/W3122994920","https://openalex.org/W3123321876","https://openalex.org/W3123579407","https://openalex.org/W3123699647","https://openalex.org/W3123844876","https://openalex.org/W3124148639","https://openalex.org/W3124800418","https://openalex.org/W3125948322","https://openalex.org/W3126074134"],"related_works":["https://openalex.org/W2914237383","https://openalex.org/W6999559368","https://openalex.org/W2090421579","https://openalex.org/W7098932622","https://openalex.org/W2520784457","https://openalex.org/W7205694668","https://openalex.org/W7037618091","https://openalex.org/W4223933624","https://openalex.org/W2327104788","https://openalex.org/W1514372427"],"abstract_inverted_index":{"In":[0],"a":[1,7,19,28,38,57,69,83,105,152],"credit":[2,8,12,35,99,140],"default":[3,155],"swap":[4],"(CDS)":[5],"trade,":[6],"protection":[9,13],"buyer":[10],"acquires":[11],"from":[14],"the":[15,32,41,53,61,72,96,109,112,120,122,127,139],"counterparty":[16],"by":[17],"paying":[18],"premium.":[20],"The":[21],"CDS":[22,50,80,130],"premium":[23],"has":[24,104],"been":[25],"viewed":[26],"as":[27],"clean":[29],"representation":[30],"of":[31,34,64,98,111],"price":[33],"risk.":[36],"As":[37],"result,":[39],"in":[40,79,102],"past":[42],"few":[43],"years,":[44],"researchers":[45],"have":[46,134],"used":[47],"data":[48],"on":[49,108],"trades":[51],"where":[52],"reference":[54],"entity":[55],"is":[56,144],"corporation":[58],"to":[59,119,133],"determine":[60],"liquidity":[62,113,143],"component":[63],"corporate":[65,116],"bond":[66,128],"spreads.":[67],"Using":[68],"transaction":[70],"dataset,":[71],"authors":[73,123],"discover":[74],"very":[75],"large":[76,90],"bid\u2013ask":[77,91],"spreads":[78,92],"quotes.":[81],"With":[82],"two-factor":[84],"model,":[85],"they":[86,147],"show":[87,124],"that":[88,125],"such":[89,151],"can":[93],"profoundly":[94],"affect":[95],"estimation":[97,110],"risk,":[100],"which":[101],"turn":[103],"significant":[106],"effect":[107],"spread":[114],"for":[115,138,146],"bonds.":[117],"Contrary":[118],"literature,":[121],"although":[126],"and":[129],"markets":[131],"appear":[132],"two":[135],"different":[136],"values":[137],"spread,":[141],"once":[142],"accounted":[145],"no":[148],"longer":[149],"find":[150],"difference.":[153],"TOPICS:Credit":[154],"swaps,":[156],"fixed-income":[157],"portfolio":[158],"management,":[159],"factor-based":[160],"models,":[161],"simulations":[162]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":9},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
