need historical background on liquidity credit rating relationship

[polysena]

okay will check that book, can't do harm I guess.. still understand nofing about banking.

[Cheng]

One link between ratings and spreads (not liquidity) was somehow established by JPM at the beginning of this century. Someone (don't remember the name of this guy, KR would know it) had the idea to multiply rating implied PD with some LGD to arrive at a lower bound for the spread and called it "Rock Bottom Spread" (nice example for marketing vs substance btw).



This is by no means academical but probably the best that comes to mind right now. I will let you know if I can dig out something else.

[polysena]

ahhhhh  cool really cool. I still need these references.. so  yes... will gladly take and will do research on that path as well.



Danke Cheng!

[sfca]

I notice a paper by David Lando and others was posted to a site I visit that might be interesting to you on the question of how to measure liquidity and how it relates to spreads.  Its on defaultrisk.com :  http://defaultrisk.com/pp_liqty_56.htm  .  I just skimmed it only.  And nothing generates more scorn than posting a paper without discussion, but I really like everything else David Lando has written so I'm assuming without any other info that its good.  I hope its useful to you.

[polysena]

SFCA,



"And nothing generates more scorn than posting a paper without discussion" well I am more relaxed w.r.t. that. I mean writing a contribution/opinion to a paper takes a lot of time &meditation. I am already very grateful for an indication, after it is my job to munch the material and make something of it or not (depending of my capabilities) for my needs and purposes! Besides the things looks promising & perhaps the econometrics is decent so many thanks for remembering my query. Regards Poly