studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields …

Risk in bank trading portfolios and its management are potentially important to the banks' soundness and to the … average long exposures and exposures vary inversely with the level of rates. Implications for aggregate bank dealer risk and …

evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several … variables or parameter instability, and the common use of inefficient estimation methods. Several authors have raised concerns …

method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental … risk premia of the term structure of excess returns. Cash flows are covariances as the exposure of bonds to factors is …