✦ LIBER ✦

Covered interest arbitrage profits: The role of liquidity and credit risk

✍ Scribed by Wai-Ming Fong; Giorgio Valente; Joseph K.W. Fung

Book ID: 116615521
Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 238 KB
Volume: 34
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2009.11.008

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Liquidity and Arbitrage in the Market fo

Liquidity and Arbitrage in the Market for Credit Risk

✍ Nashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan 📂 Article 📅 2011 🏛 School of Business Administration, University of W 🌐 English ⚖ 156 KB

LIQUIDITY RISK, CREDIT RISK AND THE OVER

LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH

✍ JOHN BEIRNE; GUGLIELMO MARIA CAPORALE; NICOLA SPAGNOLO 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 822 KB

Non-comparable assets and the simultanei

Non-comparable assets and the simultaneity of inward and outward covered interest arbitrage

✍ John J. van Belle 📂 Article 📅 1976 🏛 Springer US 🌐 English ⚖ 333 KB

The role of banking regulation in an eco

The role of banking regulation in an economy under credit risk and liquidity shock

✍ da Silva, Marcos Soares; Divino, Jose Angelo 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 525 KB

The EONIA spread before and during the c

The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk

✍ John Beirne 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 708 KB

Liquidity risk and the hedging role of o

Liquidity risk and the hedging role of options

✍ Kit Pong Wong; Jianguo Xu 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 171 KB 👁 2 views

This study examines the impact of liquidity risk on the behavior of the competitive firm under price uncertainty in a dynamic two-period setting. The firm has access to unbiased one-period futures and option contracts in each period for hedging purposes. A liquidity constraint is imposed on the firm