Browse by Subject "Liquidity"
Now showing items 1-3 of 3
(2012-09-18)This thesis consists of three essays that examine various problems in credit derivatives. In the first essay, we propose a novel method to extract asset correlations from credit derivatives. Default correlation is a concern ...
(2010-08-20)The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic ...
(2012-06-27)This thesis consists of three essays that examine various problems in empirical derivatives. In the first essay, we use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the ...