Sahar Guesmi

HEC Montreal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

79

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

The CDS-Bond Basis: Negativity Persistence and Limits to Arbitrage

Number of pages: 50 Posted: 14 Nov 2019
HEC Montreal, University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 42 (457,980)

Abstract:

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CDS-bond basis, Markov regime, arbitrage, liquidity, financial crisis, Basel regulation, Dodd-Frank Act

2.

Cyclical Variations in Liquidity Risk of Corporate Bonds

Number of pages: 35 Posted: 14 Jun 2018
HEC Montreal, HEC Montreal - Department of Finance and HEC Montreal
Downloads 37 (479,689)

Abstract:

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Liquidity Risk, Corporate Bonds, Financial Crisis, Regime Change, Markov Model, Principal Component Analysis