Can the liquidity premium in asset prices, as documented in the exchange-traded equity and bond markets, be generalized to the over-the-counter (OTC) derivative markets? Using OTC euro ([euro]) interest rate cap and floor data, we find that illiquid options trade at higher prices relative to...

It is beneficial for the consumer to have solar cookers of various varieties in terms of geometrical designs, performance and price but it is also a challenge to develop a uniform test standard for evaluating the thermal performance of the cookers irrespective of their geometrical construction....

Over the last two decades, bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model where banks can originate loans, earn their fee, and then sell them off to investors who desire such exposures. We show that the borrowers whose loans are sold...

Developing a test standard/protocol for solar box type cookers has drawn a considerable interest among the researchers throughout the world. Recent publications on solar cookers emphasize the need of introducing the thermal performance indicators determined through exergy analysis. In the...

Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale...

We examine whether banks price expected liquidity in US syndicated term loans. Using extensive data we show that loans with higher expected liquidity have significantly lower spreads at origination, controlling for other determinants of loan spreads such as borrower, loan, syndicate and...

This paper examines the convexity bias introduced by pricing interest rate swaps off the Eurocurrency futures curve and the incorporation of this bias in prices over time. The convexity bias arises because of the difference between a futures versus a forward contract on interest rates, since the...

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the economic determinants of the shape of the smile? Do these determinants have predictive power for the future shape of the smile and vice versa? We investigate these issues using...