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The collateral spread puzzle : why do repo rates often exceed unsecured rates?

Nyborg, Kjell G. - 2024

Persistent link: https://www.econbiz.de/10014581673

An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - 2001

Persistent link: https://www.econbiz.de/10001637620

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146

Persistent link: https://www.econbiz.de/10001772145

An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices

Kaplin, Andrew - 2010

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …

Persistent link: https://www.econbiz.de/10012763074

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices

Jagannathan, Ravi - 2001

Persistent link: https://www.econbiz.de/10012470033

Liquidity risk, credit risk and the money multiplier

Damjanovic, Tatiana; Damjanovic, Vladislav; Nolan, Charles - 2017

Persistent link: https://www.econbiz.de/10011724181

Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012201789

Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper

Pausch, Thilo - 2013 - First draft

The industrial organization approach to banking is extended to analyze the effects of interbank market activity and regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction between credit risk and liquidity risk of banks. This...

Persistent link: https://www.econbiz.de/10010344667

Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies

Karimalis, Emmanouil; Kosmidis, Ioannis; Peters, Gareth - 2017

Persistent link: https://www.econbiz.de/10011669383

Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009

Bacchetta, Philippe; Merrouche, Ouarda - 2015

disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …

Persistent link: https://www.econbiz.de/10011507853