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Fixing the Fixings : What Road to a More Representative Money Market Benchmark?
Brousseau, V. - 2013
, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and …
Persistent link: https://www.econbiz.de/10014395189
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Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre; Skovmand, David - In: Quantitative finance 23 (2023) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10014304406
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Interest rate modelling after the financial crisis
Bianchetti, Marco (ed.); Morini, Massimo (ed.) - 2013
Persistent link: https://www.econbiz.de/10013553126
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The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets
Bachmair, Kilian - 2023
Persistent link: https://www.econbiz.de/10013530819
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The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets
Bachmair, Kilian - 2023
In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by …. The regulatory response could not have been stronger: the LIBOR was not just reformed but discontinued altogether ….By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …
Persistent link: https://www.econbiz.de/10014255066
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The Effects of the Libor Scandal on Volatility and Liquidity in Libor Futures Markets
Bachmair, Kilian - 2023
In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by …. The regulatory response could not have been stronger: the LIBOR was not just reformed but discontinued altogether ….By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …
Persistent link: https://www.econbiz.de/10014257991
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What Drives Interbank Rates? Evidence from the Libor Panel
Michaud, Francois-Louis - 2013
The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active banks increased sharply in August 2007 and risk premiahave remained at an elevated level since. This feature aims to identify the drivers of this increase, in particular the role...
Persistent link: https://www.econbiz.de/10013095302
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An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan - 1994
Persistent link: https://www.econbiz.de/10000885251
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Bond returns and financial index numbers : results from an intertemporal arbitrage free model
Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1992
Persistent link: https://www.econbiz.de/10000893022
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The statistical distribution of short-term libor rates under two monetary regimes
Pesaran, Bahram; Robinson, Gary - 1993
Persistent link: https://www.econbiz.de/10000868578