Understanding Liquidity and Credit Risks in the Financial Crisis
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Other versions of this item:
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "Understanding liquidity and credit risks in the financial crisis," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 903-914.
- Deborah Gefang & Gary Koop & Simon M. Potter, 2010. "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper series 45_10, Rimini Centre for Economic Analysis.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "Understanding Liquidity and Credit Risks in the Financial Crisis," SIRE Discussion Papers 2011-26, Scottish Institute for Research in Economics (SIRE).
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More about this item
KeywordsLIBOR-OIS spread; factor model; credit default swap; Bayesian;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2011-06-11 (Banking)
- NEP-CBA-2011-06-11 (Central Banking)
- NEP-FMK-2011-06-11 (Financial Markets)
- NEP-RMG-2011-06-11 (Risk Management)
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