terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …

for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

power for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2011 period. The …

appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in … the price liquidity providers charge for access to their balance sheets in the crisis …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds …

traders decrease more than those of small traders. Using a structural estimation, the model is able to identify liquidity …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody …