Filipović, Damir; Trolle, Anders B. - In: Journal of Financial Economics 109 (2013) 3, pp. 707-733
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London … Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term … provides a framework for pricing, hedging, and risk management of interest rate swaps in the presence of significant basis risk. …