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Liquidity and Credit Risk

Liquidity and credit risk in fixed income markets

Liquidity and credit risk in fixed income markets

... on liquidity premia in bond markets concern the following three ...of liquidity premia between bonds with exactly matched-maturities in the ...that liquidity is the most important, but not the ...

151

Impact of credit risk (NPLs) and capital on liquidity risk of Malaysian banks

Impact of credit risk (NPLs) and capital on liquidity risk of Malaysian banks

... bank liquidity risk and credit risk and the impact of bank capital on liquidity ...between liquidity and credit risk and a non-linear U-shaped relationship between ...

5

A Forensic Analysis of Liquidity and Credit Risk in European Sovereign Bond Markets

A Forensic Analysis of Liquidity and Credit Risk in European Sovereign Bond Markets

... on liquidity to some extent are surprising but ...that liquidity plays a minor role in bond yield determination until 2008, after the Lehman crisis and this role is quickly reduced after late ...to ...

38

Credit risk and liquidity in bond and CDS markets

Credit risk and liquidity in bond and CDS markets

... their liquidity such as on-the-run and off-the-run Treasury bond issues or Pfandbrief issues with different issue sizes, liquidity premia can directly be measured as the price ...bonds, credit ...

195

Limited arbitrage and liquidity in the market for credit risk

Limited arbitrage and liquidity in the market for credit risk

... greater liquidity of bonds that are listed on an exchange vis a vis those that are not ...implicit credit risk in a funded bond is lower than that in non-funded ...poorer credit quality ...

49

Credit risk transfer, hedge funds, and the supply of liquidity

Credit risk transfer, hedge funds, and the supply of liquidity

... vide some figures. Sections 3 and 4 show how the provision of liquidity, and the selling of insurance, is related to writing put op- tions. In Sections 5 and 6 I analyze the economic function of CRT markets, ...

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Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets

Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets

... a liquidity-enhanced CAPM or a value-at-risk model that includes liquidity should treat liquidity as endogenous and control for the interaction between credit and liquidity ...

47

Credit Risk, Market Risk, Operational Risk and Liquidity Risk on Profitability of Banks in Indonesia

Credit Risk, Market Risk, Operational Risk and Liquidity Risk on Profitability of Banks in Indonesia

... Keyword: credit risk, market risk, operational risk, liquidity risk, profitability INTRODUCTION Bank is a sector strictly regulated by authorized institution, because it involves ...

11

The impact of liquidity risk, credit risk and operational risk on the performance of Iraqi private banks

The impact of liquidity risk, credit risk and operational risk on the performance of Iraqi private banks

... of liquidity risk, credit risk and operational risk on the performance of private banks in Iraq for the period 2009 to ...are, liquidity risks are measured by liquidity ...

29

Impact of Banking Supervision on Liquidity Risk and Credit Risk: Evidence from Nigeria

Impact of Banking Supervision on Liquidity Risk and Credit Risk: Evidence from Nigeria

... on liquidity risk (LR) and credit risk (CR) in ...which liquidity and CR has on banking supervision as well as to investigate the interdependence of LR, CR and banking supervision on ...

5

Explaining the Bond-CDS Basis: The role of credit risk and liquidity

Explaining the Bond-CDS Basis: The role of credit risk and liquidity

... higher credit risk, lower liquidity) are associated with a decreasing basis and thus with converging yield spreads and CDS ...negative credit risk sensitivity in the highest investment ...

35

Credit risk, liquidity risk and financial performance of deposit taking saving and credit co-operative societies in Kenya

Credit risk, liquidity risk and financial performance of deposit taking saving and credit co-operative societies in Kenya

... general liquidity challenges have become common to ...to credit risk and liquidity ...of credit risk is outstanding loans that might eventually not be paid back, liquidity ...

74

Examining the relationship between operational risk, credit risk and liquidity risk with performance of Malaysia Banks

Examining the relationship between operational risk, credit risk and liquidity risk with performance of Malaysia Banks

... of risk management on bank performance in ...while risk management is the independent variable and is proxy by operational risk, credit risk, and liquidity ...operational ...

25

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

... that liquidity risk is the primary determinant of the volatility in the policy ...by liquidity risk declined in the post-Lehman collapse phase compared to the less intense phase of the ...the ...

22

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

... that liquidity risk is the primary determinant of the volatility in the policy ...by liquidity risk declined in the post-Lehman collapse phase compared to the less intense phase of the ...the ...

22

Liquidity risk, credit risk and the overnight interest rate spread: a Stochastic Volatility modelling approach

Liquidity risk, credit risk and the overnight interest rate spread: a Stochastic Volatility modelling approach

... that liquidity risk is the primary determinant of the volatility in the policy ...by liquidity risk declined in the post-Lehman collapse phase compared to the less intense phase of the ...the ...

18

Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach

Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach

... that liquidity risk is the primary determinant of the volatility in the policy ...by liquidity risk declined in the post-Lehman collapse phase compared to the less intense phase of the ...the ...

19

THE EFFECTS OF CREDIT RISK, OPERATIONAL RISK AND LIQUIDITY RISK ON THE FINANCIAL PERFORMANCE OF BANKS LISTED IN INDONESIAN STOCK EXCHANGE

THE EFFECTS OF CREDIT RISK, OPERATIONAL RISK AND LIQUIDITY RISK ON THE FINANCIAL PERFORMANCE OF BANKS LISTED IN INDONESIAN STOCK EXCHANGE

... Licensed under Creative Common Page 186 In the present study, the sample was 5 banking companies in BEI in 2009 - 2017 period. The sampling determination method was purposive sampling technique which is sampling ...

12

The Effect of Credit Risk on Profitability and Liquidity in Tehran Stock Exchange Banking Industry

The Effect of Credit Risk on Profitability and Liquidity in Tehran Stock Exchange Banking Industry

... to credit risk and liquidity as indicators affecting the profitability of banks and the importance of their role in decisions on how to equip resources, finance, and how to allocate resources as well ...

8

TRI HITA KARANA CULTURE AS MODERATOR ON THE EFFECT OF CREDIT RISK, LIQUIDITY RISK AND OPERATIONAL RISK TOWARDS FINANCIAL PERFORMANCE OF VILLAGE CREDIT INSTITUTION IN DENPASAR

TRI HITA KARANA CULTURE AS MODERATOR ON THE EFFECT OF CREDIT RISK, LIQUIDITY RISK AND OPERATIONAL RISK TOWARDS FINANCIAL PERFORMANCE OF VILLAGE CREDIT INSTITUTION IN DENPASAR

... of credit risk on LPD performance The purpose of credit analysis is to see whether a credit potentially expose to problem or ...no credit analysis is done in granting credit, it ...

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