Crépey, Stéphane; Douady, Raphaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
The 2007 subprime crisis has induced a persistent disconnection between the Libor derivative markets of different tenors and the OIS market. Commonly proposed explanations for the corresponding spreads are a combination of credit risk and liquidity risk. However in the literature the meaning of...