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Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield:
An Experimental Investigation

Author Biography
Chung-Ying Yeh
Professor Yeh got his finance Ph.D. from National Taiwan University, Taiwan. He is a
Distinguished Professor of the Department of Finance, National Chung-Hsing University,
Taiwan. His research interests include asset pricing, empirical derivatives research,
behavior finance, risk management, bond market analysis, etc. His works have appeared
in Journal of Empirical Finance, Journal of Futures Markets, Journal of Fixed Income,
Pacific-Basin Finance Journal, Journal of Financial Studies, Review of Securities and
Futures Markets, and NTU Management Review.

Ren-Raw Chen
Professor Chen received his Ph.D. in finance from the University of Illinois at
Urbana-Champaign. He is a Professor of the Graduate School of Business Administration,
Fordham University, U.S.A. He has taught at Rutgers, the State University of New Jersey,
University of Pittsburgh, National Taiwan University, and Hong Kong University. He has
worked at JP Morgan, Lehman Brothers, Grand Cathy Securities Corporation, Moody’s
KMV, Black Rock and Morgan Stanley. Ren-Raw Chen specializes in modeling term
structure of interest rates and credit risks, automating pricing models for trading desks
and rating agencies, deriving closed-form solutions, implementing lattice and Monte
Carlo simulations, and complex calibrations. Professor Chen has published papers in
major finance and professional journals. He has implemented pricing models for financial
companies, including credit derivatives pricing models for Lehman Brothers, structural
default models for Moody’s KMV, convertible bond and fixed-income derivatives models
for Grand Cathy Securities Corporation, and a two-factor HJM model for Polypaths
Software.

Bing-Huei Lin
Professor Lin got his Ph.D. in Finance from Manchester Business School, UK. He is
a Distinguished Professor of the Department of Finance, National Chung-Hsing University.
Also, he is currently acting as Chairman of Secuities and Futures Institute in Taiwan,
which is a non-profit organization to guide investment activities, promote academic and
practical research in the domains of securities and futures. His research interests include
financial engineering, derivatives pricing and hedging, empirical derivatives research,
investment portfolio anagement, bond market analysis, etc. His works have appeared in
Journal of Business Finance and Accounting, Journal of Futures Markets, Journal of

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