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Interest Rates After the Credit Crunch: Markets and Models Evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48
on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the …
Persistent link: https://www.econbiz.de/10009318572
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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
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 …
Persistent link: https://www.econbiz.de/10011259157
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...
Persistent link: https://www.econbiz.de/10011260721
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Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …
Persistent link: https://www.econbiz.de/10011110035
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The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds.
Seppala, J. - 2000
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. …
Persistent link: https://www.econbiz.de/10005619089
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No-Arbitrage Taylor Rules
Ang, Andrew; Dong, Sen - Society for Economic Dynamics - SED - 2005
Persistent link: https://www.econbiz.de/10005051379
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Can spanned term structure factors drive stochastic yield volatility?
Christensen, Jens Henrik Eggert; Lopez, Jose A.; … - Federal Reserve Bank of San Francisco - 2014
The ability of the usual factors from empirical arbitrage-free representations of the term structure—that is, spanned factors—to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set of new arbitrage-free term structure...
Persistent link: https://www.econbiz.de/10011026936
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An Interpretation of An Affine Term Structure Model for Chile
Juan Marcelo, Ochoa - Volkswirtschaftliche Fakultät, … - 2006
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...
Persistent link: https://www.econbiz.de/10005789515
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Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve
Joyce, Michael; Kaminska, Iryna; Lildholdt, Peter - Bank of England - 2008
restriction of no arbitrage, which enables us to decompose forward real rates into expectations of future short (ie risk …
Persistent link: https://www.econbiz.de/10005435687
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008
the forward basis and the quanto adjustment find a natural financial explanation in terms of counterparty risk. …
Persistent link: https://www.econbiz.de/10008457180