Filipović, Damir; Trolle, Anders B. - In: Journal of Financial Economics 109 (2013) 3, pp. 707-733
structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank … in the first half of the sample period and is correlated with measures of funding and market liquidity. The model also … provides a framework for pricing, hedging, and risk management of interest rate swaps in the presence of significant basis risk. …