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Credit and Liquidity in Interbank Rates: A Quadratic Approach · Study

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PreprintCredit and Liquidity in Interbank Rates: A Quadratic Approach

Simon Dubecq2013

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Preprintgreen2013

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Simon Dubecq · Alain Monfort · Jean‐Paul Renne · Guillaume Roussellet

21 citations·0/0 files stored·SSRN Electronic Journal

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Banking stability, regulation, efficiency Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

2008Market Liquidity and Funding Liquidity 2009Deciphering the Liquidity and Credit Crunch 2007–2008 1999Modeling Term Structures of Defaultable Bonds 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 2002Term Premia and Interest Rate Forecasts in Affine Models 2005Demand–Deposit Contracts and the Probability of Bank Runs 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.2331959

openalex_workW1518737746

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