During the financial crisis, many banks experienced difficulties in managing their liquidity, showing the weakness of the traditional liquidity transfer price system which is not anymore adequate to measure liquidity costs, benefits and risks. The development of a more efficient mechanism will...

Ratings measure the counterparty risk for an issuer or an issue while CDs are a market evaluation of the same risk exposure. The market evaluation could be not aligned with the rating agencies' judgment and the difference could be relevant. The article presents an empirical analysis on a sample...

In this paper using a unique database of mutual funds that charge asymmetric incentive fees we evaluate the ex ante cost of these variable compensations as the premium of a spread option on the active return of the fund. We find that the cost of the asymmetric fee can be very high and that it's...

We analyse whether soliciting multiple ratings leads to lower syndicated loan spreads. Our results document that banks apply, on average, lower spreads to multi-rated firms. This effect depends on the reduction of information asymmetry about borrowers' creditworthiness (information production...

We analyze the difference between credit default swap (CDS) and syndicated loan spreads, defined as the “CDS-loan basis”. Our results indicate that the CDS-loan basis is greater when the cost of information asymmetry is higher, such as for riskier borrowers and in economic downturns. Our...