-term behaviour of interest rates with one-week maturity is investigated by testing for co-breaking and for homogeneity of spreads … nonstationarity of the spreads among interest rates of the same maturity (or measured against the MBR). Secondly, the impact of …, euro area commercial banks started paying a premium to participate in the ECB liquidity auctions. This puzzling phenomenon …

refinancing good ones. This paper models a "dark side" of wholesale funding. In an environment with a costless but noisy public …

In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet … intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique … data set of 135 main refinancing operation auctions conducted at the ECB between June 2005 and December 2007. We find that …

holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk …

book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies …

characteristics such as rating and maturity. According to the structural models and empirical evidence on credit spreads, we find that … changes in the level and the slope of the default-free term structure, the market return, implied volatility, and liquidity …, especially the rating and to a lesser extent the maturity. Bonds with lower ratings are more affected by financial and …