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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
Murphy, Finbarr; Murphy, Bernard - In: Journal of economics and finance 36 (2012) 2, pp. 351-370
Persistent link: https://www.econbiz.de/10009581884
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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Interbank lending, credit-risk premia, and collateral
Heider, Florian; Hoerova, Marie - In: International journal of central banking : IJCB 5 (2009) 4, pp. 5-43
Persistent link: https://www.econbiz.de/10009521389
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Do central bank liquidity facilities affect interbank lending rates?
Christensen, Jens H. E.; López, José A.; Rudebusch, … - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 136-151
Persistent link: https://www.econbiz.de/10010380470
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Credit and Liquidity in Interbank Rates : A Quadratic Approach
Dubecq, Simon - 2016
In this paper, we propose a quadratic term-structure model of the EURIBOR-OIS spreads. As opposed to OIS, EURIBOR rates incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a) the risk of default of the borrowing bank and...
Persistent link: https://www.econbiz.de/10013007148
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Interbank credit risk modeling with self-exciting jump processes
Leunga, Charles Guy Njike; Hainaut, Donatien - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10012496770
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Credit and liquidity in interbank rates : a quadratic approach
Dubecq, Simon; Monfort, Alain; Renne, Jean-Paul; … - In: Journal of banking & finance 68 (2016), pp. 29-46
Persistent link: https://www.econbiz.de/10011634788
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Financial stress and equilibrium dynamics in term interbank funding markets
Yoldas, Emre; Senyuz, Zeynep - In: Journal of financial stability 34 (2018), pp. 136-149
Persistent link: https://www.econbiz.de/10012156801