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 …

valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a …

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has … long remained a more or less elusive concept. Treatment of liquidity risk is still under development.This paper provides an …