, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …

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 … carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …

on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the …

This paper studies the behavior of the default-risk-free real term structure and term premia intwo general equilibrium … second risk-sharing is limited by the risk of default as in Alvarez and Jermann. …

restriction of no arbitrage, which enables us to decompose forward real rates into expectations of future short (ie risk …

) model, to develop a multi-dimensional yield-curve-based risk framework for fixed interest portfolios. The VAO model is also …. In combination, these risk and return elements provide an intuitive framework for attributing portfolio returns ex … swap data. The first application shows that the main sources of fixed interest portfolio risk (i.e. unanticipated …