focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the … overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We report the …

that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits … plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

existing basis between interbank rates with different tenor, such as Libor and OIS. We also discuss a qualitative explanation …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …