Miriam Marra

University of Reading - ICMA Centre

Assistant Professor

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

607

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Explaining Co-movements between Equity and CDS Bid-Ask Spreads

Number of pages: 57 Posted: 12 Mar 2012 Last Revised: 22 Jul 2016
Miriam Marra
University of Reading - ICMA Centre
Downloads 206 (147,775)
Citation 2

Abstract:

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Credit Default Swap, Equity, Bid-Ask Spread Co-movement, Funding Costs, Systematic Risk, Hedging, Capital Structure Arbitrage

2.

Explaining CDS Prices Before and After the Lehman Default with a Simple Structural Model

Number of pages: 55 Posted: 07 Feb 2014 Last Revised: 04 Mar 2014
Gordon Gemmill and Miriam Marra
Warwick Business School and University of Reading - ICMA Centre
Downloads 147 (198,916)

Abstract:

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CDS, Merton Model, Credit Spread Puzzle, Volatility Smirk, Tail Risk, Illiquidity, Uncertainty, Idiosyncratic Factors

3.

Explaining Repo Specialness

Number of pages: 56 Posted: 22 Mar 2017
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading and Brunel University
Downloads 119 (234,812)

Abstract:

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Repo Specialness, Short-Selling, Fire-Sales, Liquidity, Auctions, High Frequency Data

4.

The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis

Systemic Risk: Liquidity Risk, Governance and Financial Stability
Number of pages: 65 Posted: 30 Mar 2013 Last Revised: 08 Jul 2013
Miriam Marra
University of Reading - ICMA Centre
Downloads 110 (248,526)

Abstract:

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Credit Default Swap Index, Structural Model, Crisis, Market Liquidity, Funding Liquidity, Systemic Risk

5.

Intraday Dynamics and Determinants of CCP and Bilateral General-Collateral Repos

Number of pages: 71 Posted: 26 Oct 2017
Alfonso Dufour, Miriam Marra and Ivan Sangiorgi
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 25 (494,004)

Abstract:

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Intraday Interest Rate, Repurchase Agreement, Bond Collateral, Funding Liquidity, Central Counterparty Clearing, Counteparty Credit Risk