Maastricht University / University of Amsterdam / Free University of Amsterdam / University of Kaiserslautern / Imperial College / Tilburg University / /
Holiday
Assumption / /
IndustryTerm
search costs / insurance / non-traded bank loans / bank loans / /
Organization
Department of Finance / Western Finance Association / University of Amsterdam / Maastricht University / European Central Bank / Tilburg University / Bank of England / Imperial College / University of Kaiserslautern / /
Person
Olivier Renault / Akiko Watanabe / Avi Wohl / Mike Chernov / Ai / Marti Sub / Andrea Buraschi / /
Position
return Rt / representative dataset / Rt / model for the credit default swap market / representative / theoretical asset pricing model for derivatives that incorporates liquidity risk / /
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market∗ Dion Bongaerts† Frank de Jong‡