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103
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65
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53
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51
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41
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1
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10
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15,528
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date (oldest first)
1
The effects of the
LIBOR
scandal on volatility and liquidity in
LIBOR
futures markets
Bachmair, Kilian
-
2023
Persistent link: https://www.econbiz.de/10013530819
Saved in:
2
US Dollar swaps after
LIBOR
Heidorn, Thomas
;
Meier, Rebecca
-
2024
developments in a changing financial landscape. This paper discusses the change from US$-
LIBOR
to the Secured Overnight Financing …
Persistent link: https://www.econbiz.de/10014468854
Saved in:
3
Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
Saved in:
4
Bank funding risk, reference rates, and credit supply
Cooperman, Harry R.
;
Duffie, Darrell
;
Yang, Yilin
; …
-
2023
Persistent link: https://www.econbiz.de/10014246457
Saved in:
5
Does SOFR-linked debt cost borrowers more than
LIBOR
-linked debt?
Klingler, Sven
;
Syrstad, Olav
-
2023
We investigate if the benchmark transition from London Interbank Offered Rate (
Libor
) to Secured Overnight Financing … notes (FRNs) provides an ideal laboratory to study these e ects. Comparing the spreads of FRNs linked to
LIBOR
and SOFR …
Persistent link: https://www.econbiz.de/10014314081
Saved in:
6
Across-the-curve credit spread indices
Berndt, Antje
;
Duffie, Darrell
;
Zhu, Yichao
- In:
Financial markets, institutions & instruments
32
(
2023
)
3
,
pp. 115-130
Persistent link: https://www.econbiz.de/10014326682
Saved in:
7
The Effects of the
LIBOR
Scandal on Volatility and Liquidity in
LIBOR
Futures Markets
Bachmair, Kilian
-
2023
In 2008, first suspicions arose that the London Interbank Offered Rate (
LIBOR
) had been systematically manipulated by …. The regulatory response could not have been stronger: the
LIBOR
was not just reformed but discontinued altogether ….By studying 3-months
LIBOR
futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …
Persistent link: https://www.econbiz.de/10014255066
Saved in:
8
The Effects of the
Libor
Scandal on Volatility and Liquidity in
Libor
Futures Markets
Bachmair, Kilian
-
2023
In 2008, first suspicions arose that the London Interbank Offered Rate (
LIBOR
) had been systematically manipulated by …. The regulatory response could not have been stronger: the
LIBOR
was not just reformed but discontinued altogether ….By studying 3-months
LIBOR
futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …
Persistent link: https://www.econbiz.de/10014257991
Saved in:
9
Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry
;
Duffie, Darrell
;
Luck, Stephan
;
Wang, …
-
2023
LIBOR
. We show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit …
Persistent link: https://www.econbiz.de/10014258606
Saved in:
10
Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry
;
Duffie, Darrell
;
Luck, Stephan
;
Wang, …
-
2023
2022, this impact was reduced by linking the interest paid on lines to credit-sensitive reference rates such as
LIBOR
. We …
Persistent link: https://www.econbiz.de/10014258716
Saved in:
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