Kliber, Agata; Pluciennik, Piotr - In: Acta Universitatis Nicolai Copernici, Ekonomia 43 (2012) 1, pp. 61-76
The former U. S. Federal Reserve Board of Governors Alan Greenspan stated recently that the LIBOR-OIS spread, understood as the difference between the LIBOR rate and the term overnight indexed swap, is „a barometer of fears of bank insolvency”. In the following article we use the LIBOR-OIS...