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markets. Some 40% of the banks that charge a liquidity premium base the premium on their wholesale funding credit spreads. Although only 33% set FTP rates ...

http://www.mckinsey.de/downloads/kompetenz/risk_management/risk_management_rma_2008.pdf

BEST PRACTICE FTP APPROACH INCORPORATES TERM SPECIFIC. INTEREST RATE AND LIQUIDITY PREMIUM. What is the cost of funds for the bank by different repricing ...

http://www.garp.com/uploadedFiles/research/articles/D2T2_kevin_buehler.pdf

http://www.occ.treas.gov/ftp/release/2008-29a.pdf. “The credit spread “puzzle”, the liquidity premium and implications for annuity business”, ...

http://www.actuaries.org.uk/__data/assets/pdf_file/0008/132875/Fulcher.pdf

The quantification of this liquidity premium is a matter of some academic controversy. ...... http://www.occ.treas.gov/ftp/release/2008-29a.pdf ...

http://www.actuaries.org.uk/__data/assets/pdf_file/0013/140044/Stanworth_text.pdf

Internal Fund Transfer Pricing (FTP) is a well known practice in the .... difference is the liquidity premium. Adjustment can be made by debiting a tem ...

http://www.ifc.org/ifcext/rbap.nsf/AttachmentsByTitle/JuditBurucsArticle/$FILE/Thoughts+about+FTP.pdf

FTP points in the FTP curve. FTP Adjustment. Curve adjustment (liquidity premium and so on). Cash flow of the principal. Medium Bank bought softwares ...

http://www.ifc.org/ifcext/rbap.nsf/AttachmentsByTitle/ALM_ENG/$FILE/MANUALALRISKMANUAL-new.pdf

In our previous report (“Liquidity Premium: Literature review of ..... The liquidity premium is then inferred as the residual between the fair spread and ...

http://www.ma.hw.ac.uk/~mcneil/ftp/LPmethods.pdf

by J Hibbert - 2009 - Related articles

http://www.ma.hw.ac.uk/~mcneil/ftp/LPliteraturereview.pdf

The following Proposition shows that the liquidity premium has a simple .... Coordination failure among investors entails that the liquidity premium ...

ftp://ftp.cemfi.es/pdf/papers/wshop/plantin2.pdf

by R Lagos - 2007 - Cited by 21

ftp://ftp.cemfi.es/pdf/papers/Seminar/SAM1_220607.pdf

Credit risk premium. Interest reference rate. Liquidity premium. Liquidity premium. Interest reference rate ... Fixed Floating IRS (plus FX). FTP. FTP ...

http://about.reuters.com/brightspot/library/Warsaw/Seminar4-EnterpriseWideRiskManagement.pdf

applying refined FTP valuations in pricing, planning, and ... premium rates on deposits. Conversely, banks with excess liquidity can better justify a more ...

http://www.novantas.com/files/protected_files/69.pdf

12 Nov 2009 ... Liquidity - FTP. Our Approach to Loan Origination and Liquidity Fund Transfer .... Funding liquidity premium (captured by the funding cost) ...

http://v3.moodys.com/sites/products/ProductAttachments/Liquidity_Webinar_FINAL.pdf

8 Jun 2009 ... only GIP and INF and not CONS, or liquidity factors? Factors from a large dataset? ... Responses of macro vars to forward term premium (FTP) ...

http://www.bundesbank.de/download/vfz/konferenzen/20090608_frankreich/discussion_tristani.pdf

by KJ Singleton - Related articles

http://www.bundesbank.de/download/vfz/konferenzen/20090608_frankreich/presentation_singleton.pdf

Possibility of borrower defaulting default risk premium. DRP. Illiquidity of IOU liquidity premium. LP. Fluctuations in interest rates maturity risk premium ...

http://www.morevalue.com/i-reader/ftp/Ch8.PDF

Change Internal FTP rules to reflect change in firm profile. ▪ More focus on liquidity value of assets and liabilities. ▪ Liquidity premium based of LT ...

http://www.ecb.int/paym/groups/pdf/mmcg/Internal_org_JPM.pdf?e11b115318848261759eedbfc4b735e1

10 Oct 2009 ... Empirical data also indicate that there is no liquidity premium for Treasury securities but that a positive liquidity premium is built into ...

ftp://ftp.cba.uri.edu/classes/dash/bus320h/Exam01_F09.pdf

by CJ Saxton - Related articles

http://www.house.gov/jec/fiscal/secur.pdf

find that liquidity risk is priced, and that the liquidity risk premium ...... The momentum anomaly is not consistent with a liquidity premium tied to the ...

http://www.kellogg.northwestern.edu/faculty/korajczy/ftp/Research/PortfolioRiskForecasting/Liquidity/Papers_Liquidity/Sadka.2003.pdf

by A Fujimoto - Cited by 8

http://www.kellogg.northwestern.edu/faculty/korajczy/ftp/Research/PortfolioRiskForecasting/Liquidity/Papers_Liquidity/Fujimoto.2003a.pdf

Default risk premium for AAA bonds = 3%. Liquidity premium for long-term T-bonds = 2%. Assume that a highly liquid market does not exist for long-term ...

http://www.krannert.purdue.edu/faculty/Rau/course_materials/ftp/exam/exam1.pdf

Real rate of interest. •. Expected future inflation. •. Interest rate risk. •. Default risk premium. •. Taxability premium. •. Liquidity premium ...

http://www.krannert.purdue.edu/faculty/Rau/mgmt610w/ftp/BondValuation/BondValuation.pdf

by JH McCULLOCH - 1979"An Estimate of the Liquidity Premium," Chapter 5 in Stephen A. Ross, ed, The Debt Market, ..... MATLAB version available on MATHWORKS ftp site: ...

http://web.econ.ohio-state.edu/directory/vita/Hu McCulloch.pdf

by R Mehra - 2003 - Cited by 170

http://hassler-j.iies.su.se/courses/Riksbank/Papper/MehraPrescott2003.pdf

by MR Barassiexpectations about current and future short-term interest rates, plus some liquidity premium. Campbell and Shiller (1987) suggested a present value type of ...

ftp://ftp.bham.ac.uk/pub/RePEc/pdf/09-17.pdf

and default premiums, with the liquidity premium the larger of the two. ..... 2004, 6/18/2004 Release 2004-49, https://www.occ.treas.gov/ftp/deriv/dg104pdf. ...

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID929125_code354470.pdf?abstractid=929125&rulid=232746&mirid=1

CORRECTED FTP. DOC. 6/26/2007 8:49 AM. June 2007]. Sarbanes-Oxley and the Cross-Listing Premium. 1863 tablished, this would support the possibility that the ...

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1001147_code280095.pdf?abstractid=959022&rulid=240239&mirid=1

To properly identify a security*s premium for the liquidity risk it imposes ..... liquidity premium between old and young bonds, and the significance of the ...

http://ftp.tinbergen.nl/discussionpapers/03030.pdf

introduces a liquidity premium embodied in the forward rate. He consequently ... rates. exceeding them by the amount of the risk. or liquidity premium. ...

ftp://ftp.business.uvu.edu/Akia/SelectedPublications/Does a Higher Expected Inflation Rate Steepen the Yield Curve .pdf

4 Mar 2008 ... liquidity support to asset-backed commercial paper conduits and structured .... commercial real estate lending puts more of a premium on ...

http://www.occ.treas.gov/ftp/release/2008-28b.pdf

predatory terms may run the risk of losing an important source of liquidity for its mortgage ... Single-premium credit life insurance or similar products; ...

http://www.occ.treas.gov/ftp/advisory/2003-3.pdf

inferred from pricing on comparable corporate bonds plus a liquidity premium for the anticipated placement in the 144A market place. Over the last 10 years, ...

ftp://ftp.dot.state.tx.us/pub/txdot-info/dal/lbj_635/lbj_mobility_group/forms_plans/financial_plan.pdf

by S Joslin - Cited by 7

http://www.stanford.edu/~kenneths/JPS.pdf

by G Basevi - All 2 versions

ftp://www.ceistorvergata.it/repec/rpaper/No-68-Basevi-Pecchi-Piga.pdf

by T Gravelle - Cited by 23

http://www.bankofcanada.ca/en/res/wp/1999/wp99-11.pdf

Y2K Options and the Liquidity Premium in Treasury Bond Markets. Suresh Sundaresan and Zhenyu Wang. Financial institutions around the world expected ...

http://www.newyorkfed.org/research/publication_annuals/por2006.pdf

6 Mar 2008 ... liquidity premium for buying assets. In previous stress events, there was evidence that liquidity premia had emerged for ...

http://www.newyorkfed.org/newsevents/news/banking/2008/SSG_Risk_Mgt_doc_final.pdf

immediate increase of funds transfer pricing (FTP), and communication ...... liquidity premium;. • credit spreads;. • wholesale funding volumes and cost; ...

http://www.fsa.gov.uk/pubs/discussion/fs08_03.pdf

by T Gravelle - Cited by 6

http://www.banqueducanada.ca/en/res/wp/1998/wp98-9.pdf

by JMJ ROMÁN - Related articles

http://www.banrep.gov.co/docum/ftp/borra463.pdf

by K Wesche - 1996 - Cited by 3

ftp://web.bgse.uni-bonn.de/pub/RePEc/bon/bonsfb/bonsfb392.pdf

by R McKinnon - Cited by 14

ftp://ftp.zew.de/pub/zew-docs/dp/dp06035.pdf

by F Heinemann - Cited by 49

ftp://ftp.zew.de/pub/zew-docs/div/erffinal.pdf

by AJ Auerbach - Cited by 27

http://elsa.berkeley.edu/~auerbach/ftp/vat.pdf

than A share market and thus investors require liquidity premium in order to compensate for B shares, which partly contributes to the B share pricing puzzle ...

ftp://ftp.econ.au.dk/creates/rp/08/rp08_15.pdf

Deals are screened on the basis of size, liquidity, premium and exchange listing to ensure ..... subscription via FTP. Tickers. Bloomberg Reuters ...

http://www2.standardandpoors.com/spf/pdf/index/SP_Long_Only_Merger_Arbitrage_Index_Methodology_Web.pdf

by R Moreno - Cited by 9

http://www.bis.org/publ/bppdf/bispap35b.pdf

in a private placement may charge the tribe a liquidity premium in the form of additional interest to offset their restrictions on resale. ...

http://www.ncai.org/ncai/econpolicy/CapitalandFinancePapers.pdf

This smaller market suggests relative illiquidity, which produces a liquidity premium for these tribes. Current federal securities law forces tribal ...

http://www.ncai.org/ncai/events2007/econ_summit/papers/Clarkson_and_Meeks_FINAL_5.8.07.pdf