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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013141038
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; liquidity risk ; credit risk ; stochastic volatility …
Persistent link: https://www.econbiz.de/10003983199
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; Liquidity Risk ; Credit Risk ; Stochastic Volatility …
Persistent link: https://www.econbiz.de/10009129975
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013094544
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10010270543
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979875
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Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940
Persistent link: https://www.econbiz.de/10010341577
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Price discovery and trade fragmentation in a multi-market environment : evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - In: Journal of banking & finance 37 (2013) 2, pp. 227-240
Persistent link: https://www.econbiz.de/10009705705
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Analysing the determinants of credit risk for general insurance firms in the UK
Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016
This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk....
Persistent link: https://www.econbiz.de/10011497181
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Analysing the determinants of credit risk for General Insurance firms in the UK
Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016
This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk....
Persistent link: https://www.econbiz.de/10011497884