Pricing Corporate Bonds with Credit Risk, Liquidity Risk, and Their Correlation
Discrete Dynamics in Nature and Society, 2021 This paper proposes a generalized bond pricing model, accounting for all the effects of credit risk, liquidity risk, and their correlation. We use an informed trading model to specify the bond liquidity payoff and analyze the sources of liquidity risk ...
Xinting Li +3 more
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Research on Liquidity Risk Management of Commercial banks under the impact of Fed rate hike [PDF]
SHS Web of Conferences, 2023 Liquidity risk refers to the risk of insolvency, credit decline, market value decline and other consequences that commercial banks cannot obtain enough working capital when paying debts or maintaining business operations.
Duan Xiaolong
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Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market
Discrete Dynamics in Nature and Society, 2022 This paper investigates the impact of multidimension liquidity, credit risk, and the interaction between liquidity and credit risk on corporate bond spreads based on a large transaction data set from July, 2006 to June, 2016, including the monthly data ...
Zijian Wu, Baochen Yang, Yunpeng Su
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Bank- specific determinants of liquidity risk for commercial banks in Algeria: Panel data analysis during 2005-2020 [PDF]
Financial Markets, Institutions and Risks, 2023 This study aims to monitor a group of factors that cause liquidity risks and contribute to the occurrence of liquidity problems by testing the determinants of liquidity risk and the explanatory factors of the liquidity problem in Algerian commercial ...
Fatma Benchenna
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The determinants of liquidity risk of commercial banks in Vietnam [PDF]
Banks and Bank Systems, 2019 This research identifies factors that explain the liquidity of commercial banks in the Vietnam banking system from 2010 to 2015. Using the OLS regression method for analysis, it was found that: the interbank market helps commercial banks improve their
Tu T. T. Tran +3 more
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Research on liquidity risk of commercial bank – from the view of comparison of Chinese and American commercial banks [PDF]
ITM Web of Conferences, 2022 The liquidity risk of commercial banks has become an important driver of the major risks in the modern economic system. This paper synthesizes the off balance sheet items which are often ignored in traditional bank liquidity researches, and uses the ...
Wang Mingming
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Problemy Zarządzania, 2013 The global financial crisis is the most serious slump in the economic activity and financial markets in the world since the Great Depression of the ‘30s in the last century. In 2007, A. Clarke, advisor of the President of the Bank of England, said that
Agnieszka K. Nowak
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Risk allocation under liquidity constraints [PDF]
, 2013 Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations.
Herings, P. Jean-Jacques +3 more
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The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach
Risks, 2022 China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads.
Xiaoping Min, Min Ji
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Analysis of the determinants of bank liquidity risk: The case of Islamic banks in the UAE [PDF]
SHS Web of Conferences, 2021 This article aims to examine the principal parameters that impact the liquidity risk incurred by Islamic banks in the UAE. The study examines annual data from four Islamic banks in the UAE.
Addou Khadija Ichrak, Bensghir Afaf
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