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There are 16584 results for: content related to: LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH *

  1. Default and liquidity regimes in the bond market during the 2002–2012 period

    Canadian Journal of Economics/Revue canadienne d'économique

    Volume 46, Issue 4, November/novembre 2013, Pages: 1160–1195, Georges Dionne and Olfa Maalaoui Chun

    Version of Record online : 14 NOV 2013, DOI: 10.1111/caje.12057

  2. Dealing with Drought-Related Credit and Liquidity Risks in MFIs: Evidence from Africa

    Strategic Change

    Volume 24, Issue 1, January 2015, Pages: 67–84, Davide Castellani and Peter Cincinelli

    Version of Record online : 21 JAN 2015, DOI: 10.1002/jsc.1998

  3. UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION

    Journal of Applied Econometrics

    Volume 29, Issue 3, April/May 2014, Pages: 394–414, Rien J. L. M. Wagenvoort and Sanne Zwart

    Version of Record online : 31 JUL 2013, DOI: 10.1002/jae.2335

  4. Stock Liquidity Risk and the Cross-sectional Earnings-Returns Relationship

    Journal of Business Finance & Accounting

    Volume 43, Issue 9-10, October/November 2016, Pages: 1121–1141, Zangina Isshaq and Robert Faff

    Version of Record online : 22 SEP 2016, DOI: 10.1111/jbfa.12209

  5. View from the Mountaintop

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Leonard Matz, Peter Neu, Pages: 377–389, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch17

  6. Liquidity Coinsurance and Bank Capital

    Journal of Money, Credit and Banking

    Volume 46, Issue 2-3, March-April 2014, Pages: 409–443, FABIO CASTIGLIONESI, FABIO FERIOZZI, GYÖNGYI LÓRÁNTH and LORIANA PELIZZON

    Version of Record online : 26 MAR 2014, DOI: 10.1111/jmcb.12111

  7. Step I: Sources of Liquidity Risk

    The Liquidity Risk Management Guide: From Policy to Pitfalls

    Gudni Adalsteinsson, Pages: 43–67, 2014

    Published Online : 16 MAY 2014, DOI: 10.1002/9781118858035.ch6

  8. Introduction

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Peter Neu, Leonard Matz, Pages: 1–11, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch1

  9. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

    The Journal of Finance

    Volume 66, Issue 1, February 2011, Pages: 203–240, DION BONGAERTS, FRANK DE JONG and JOOST DRIESSEN

    Version of Record online : 6 JAN 2011, DOI: 10.1111/j.1540-6261.2010.01630.x

  10. Banks' Liquidity and the Cost of Liquidity to Corporations

    Journal of Money, Credit and Banking

    Volume 46, Issue s1, February 2014, Pages: 13–45, VITALY M. BORD and JOÃO A.C. SANTOS

    Version of Record online : 27 JAN 2014, DOI: 10.1111/jmcb.12076

  11. Monitoring and Controlling Liquidity Risk

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Leonard Matz, Peter Neu, Pages: 65–99, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch4

  12. A Concept for Cash Flow and Funding Liquidity Risk

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Leonard Matz, Peter Neu, Pages: 171–203, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch8

  13. Step II: Risk Appetite

    The Liquidity Risk Management Guide: From Policy to Pitfalls

    Gudni Adalsteinsson, Pages: 69–79, 2014

    Published Online : 16 MAY 2014, DOI: 10.1002/9781118858035.ch7

  14. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

    European Financial Management

    Volume 16, Issue 4, September 2010, Pages: 658–685, Manfred Frühwirth, Paul Schneider and Leopold Sögner

    Version of Record online : 19 AUG 2010, DOI: 10.1111/j.1468-036X.2009.00503.x

  15. Scenario Analysis and Stress Testing

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Leonard Matz, Peter Neu, Pages: 37–63, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch3

  16. Market Developments in Banks' Funding Markets

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Peter Neu, Armin Leistenschneider, Bernhard Wondrak, Martin Knippschild, Pages: 146–169, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch7

  17. Funding liquidity risk and deviations from interest-rate parity during the financial crisis of 2007–2009

    International Journal of Finance & Economics

    Volume 16, Issue 4, October 2011, Pages: 307–323, Cho-Hoi Hui, Hans Genberg and Tsz-Kin Chung

    Version of Record online : 12 JUL 2010, DOI: 10.1002/ijfe.427

  18. Systematic liquidity risk and stock price reaction to shocks

    Accounting & Finance

    Volume 52, Issue 2, June 2012, Pages: 467–493, Khelifa Mazouz, Dima W. H. Alrabadi and Shuxing Yin

    Version of Record online : 9 FEB 2011, DOI: 10.1111/j.1467-629X.2011.00403.x

  19. Liquidity Risk Measurement

    Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

    Leonard Matz, Peter Neu, Pages: 13–36, 2012

    Published Online : 20 MAR 2012, DOI: 10.1002/9781118390399.ch2

  20. Integrated Risk Management with a Filtered Bootstrap Approach

    Economic Notes

    Volume 33, Issue 3, November 2004, Pages: 375–398, Claudio Marsala, Massimiliano Pallotta and Raffaele Zenti

    Version of Record online : 13 APR 2005, DOI: 10.1111/j.0391-5026.2004.00137.x