✦ LIBER ✦

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

✍ Scribed by DION BONGAERTS; FRANK DE JONG; JOOST DRIESSEN

Book ID: 109177732
Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 344 KB
Volume: 66
Category: Article
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2010.01630.x

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## ABSTRACT Banks have a unique ability to hedge against market‐wide liquidity shocks. Deposit inflows provide funding for loan demand shocks that follow declines in market liquidity. Consequently, banks can insure firms against systematic declines in liquidity at lower cost than other institutions