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Since the global financial crisis, many have expressed concern about the health and future of credit-default swaps. Could institutional investors find the liquidity they need to hedge credit risk in subsequent periods? We examine CDS liquidity during the COVID-19 crisis.
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Credit in the COVID Crisis: Contagion, Valuation, Default
May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras RokobFixed Income , Risk Management
Learn MoreAs the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.
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Bond ETFs and underlying price uncertainty
Apr 8, 2020 Reka Janosik , András BohákRisk Management , Fixed Income
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Have High-Yield ETFs Created Liquidity Risk?
Mar 27, 2019 Reka JanosikFixed Income , Risk Management , Integrated Risk Management
Learn MoreIn the fourth quarter of 2018, redemptions of high-yield ETFs soared to approximately 25% of these funds’ assets under management (AUM), according to data provider IHS Markit.
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