Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Riccardo Rebonato and Hong Sherwin
The Journal of Fixed Income Winter 2021, 30 (3) 67-82; DOI: https://doi.org/10.3905/jfi.2020.1.103

Article Information

vol. 30 no. 3 67-82
DOI 
https://doi.org/10.3905/jfi.2020.1.103
Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online January 4, 2021.

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© 2020 Pageant Media Ltd

Author Information

  1. Riccardo Rebonato
    1. is a professor at EDHEC Business School and a researcher at EDHEC Risk Institute in London, UK. (riccardo.rebonato{at}edhec.edu)
  2. Hong Sherwin
    1. is a director at the Financial Industry Regulatory Authority in New York, NY. (hong.sherwin{at}finra.org)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity
Riccardo Rebonato, Hong Sherwin
The Journal of Fixed Income Dec 2020, 30 (3) 67-82; DOI: 10.3905/jfi.2020.1.103
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