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Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

Persistent link: https://www.econbiz.de/10012050871

Interest rate, liquidity, and sovereign risk : derivative-based VaR

Gubareva, Mariya; Borges, Maria Rosa - In: Journal of risk finance : the convergence of financial … 18 (2017) 4, pp. 443-465

Persistent link: https://www.econbiz.de/10011782760

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

Kraft, Holger - 2004

theory …

Persistent link: https://www.econbiz.de/10013518807

Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation

Niedrig, Tobias - 2015 - This version: December 2014

I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment strategies of life insurance companies. Especially for life insurance...

Persistent link: https://www.econbiz.de/10010510056

Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation

Niedrig, Tobias - In: The journal of insurance issues : official journal of … 38 (2015) 1, pp. 31-71

Persistent link: https://www.econbiz.de/10011380756

American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332

Persistent link: https://www.econbiz.de/10009349987

The portfolio theory of inflation and policy (in)effectiveness

Bossone, Biagio - 2019

taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical …

Persistent link: https://www.econbiz.de/10012012446

Properties and limitations of duration as a measure of time structure of bond and interest rate risk

Ajlouni, Moh'd M. - In: International journal of economic perspectives : IJEP 6 (2012) 4, pp. 46-56

Persistent link: https://www.econbiz.de/10011587208

The portfolio theory of inflation (and policy effectiveness)

Bossone, Biagio - 2019

The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in …

Persistent link: https://www.econbiz.de/10011993031

Stylised properties of the interest rate term structure under the benchmark approach

Fergusson, Kevin; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344800

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