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Publications by John Beirne

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

SSRN Electronic Journal

English

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Interest Rate Shocks and Credit Risk

SSRN Electronic Journal

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Credit to Private Sector, Interest Spread and Volatility in Credit Flows

UN Department of Economic and Social Affairs (DESA) Working Papers

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Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Journal of Banking and Finance

English

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Journal of Empirical Finance

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A Risk-Driven Approach to Exchange Rate Modelling

Economic Modelling

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Liquidity and Arbitrage in the Market for Credit Risk

Journal of Financial and Quantitative Analysis

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CDS Industrial Sector Indices, Credit and Liquidity Risk

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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

SSRN Electronic Journal

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Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk

Economics: Current and Future Developments (2nd Edition)

English