{"id":"https://openalex.org/W4255828482","doi":"https://doi.org/10.2139/ssrn.2209122","title":"Liquidity Risk in Credit Default Swap Markets","display_name":"Liquidity Risk in Credit Default Swap Markets","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W4255828482","doi":"https://doi.org/10.2139/ssrn.2209122"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.2209122","doi":"https://doi.org/10.2139/ssrn.2209122","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2209122","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2209122","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5023522748","display_name":"Anders B. Trolle","orcid":"https://orcid.org/0000-0003-1873-1779","observed_orcids":["https://orcid.org/0000-0003-1873-1779"]},"institutions":[{"id":"https://openalex.org/I180519160","display_name":"Copenhagen Business School","ror":"https://ror.org/04sppb023","country_code":"DK","type":"education","lineage":["https://openalex.org/I180519160"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Anders B. Trolle","raw_affiliation_strings":["Copenhagen Business School, Solbjerg Plads 3, Frederiksberg C, DK - 2000, Denmark","Copenhagen Business School"],"raw_orcid":"https://orcid.org/0000-0003-1873-1779","affiliations":[{"raw_affiliation_string":"Copenhagen Business School, Solbjerg Plads 3, Frederiksberg C, DK - 2000, Denmark","institution_ids":["https://openalex.org/I180519160"]},{"raw_affiliation_string":"Copenhagen Business School","institution_ids":["https://openalex.org/I180519160"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5007801768","display_name":"Benjamin Junge","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I5124864","display_name":"\u00c9cole Polytechnique F\u00e9d\u00e9rale de Lausanne","ror":"https://ror.org/02s376052","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I5124864"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Benjamin Junge","raw_affiliation_strings":["Ecole Polytechnique F\u00e9d\u00e9rale de Lausanne, Quartier UNIL-Dorigny, Extranef 128, Lausanne, CH-1015, Switzerland","Ecole Polytechnique F\u00e9d\u00e9rale de Lausanne"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ecole Polytechnique F\u00e9d\u00e9rale de Lausanne, Quartier UNIL-Dorigny, Extranef 128, Lausanne, CH-1015, Switzerland","institution_ids":["https://openalex.org/I5124864"]},{"raw_affiliation_string":"Ecole Polytechnique F\u00e9d\u00e9rale de Lausanne","institution_ids":["https://openalex.org/I5124864"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5023522748"],"corresponding_institution_ids":["https://openalex.org/I180519160"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9911999702453613,"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":0.9911999702453613,"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":0.005900000222027302,"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":0.000699999975040555,"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":0.8370000123977661},{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"liquidity risk","score":0.9909999966621399},{"id":"https://openalex.org/keywords/limits-to-arbitrage","display_name":"limits to arbitrage","score":0.8769999742507935},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.8399999737739563},{"id":"https://openalex.org/keywords/funding-costs","display_name":"funding costs","score":0.9639999866485596},{"id":"https://openalex.org/keywords/factor-pricing","display_name":"factor pricing","score":0.6010000109672546},{"id":"https://openalex.org/keywords/high-yield","display_name":"high yield","score":0.5569999814033508},{"id":"https://openalex.org/keywords/investment-grade","display_name":"investment grade","score":0.972000002861023}],"concepts":[{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.650476336479187},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.6444565653800964},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.6421831250190735},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.6039288640022278},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.5803912878036499},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5682529807090759},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.5552510619163513},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.46104615926742554},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.4376927614212036},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.42742449045181274},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.36758196353912354},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.32600441575050354},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2477111518383026},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.24014392495155334},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22871756553649902},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.19366303086280823}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.2209122","doi":"https://doi.org/10.2139/ssrn.2209122","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2209122","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2209122","doi":"https://doi.org/10.2139/ssrn.2209122","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2209122","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W7097911003","https://openalex.org/W2155813425","https://openalex.org/W2182134009","https://openalex.org/W982572562","https://openalex.org/W2661702847","https://openalex.org/W2520784457","https://openalex.org/W4210901713","https://openalex.org/W2009150482","https://openalex.org/W7096619122","https://openalex.org/W1975951942"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2022-05-12T00:00:00"}