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Interest rates after credit crunch : markets and models evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 35-48
Persistent link: https://www.econbiz.de/10009629252
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Evolution of the markets after the credit crunch
Bianchetti, Marco; Carlicchi, Mattia - In: Interest rate modelling after the financial crisis, (pp. 5-60). 2013
Persistent link: https://www.econbiz.de/10011456956
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Interest Rates After the Credit Crunch : Multiple Curve Vanilla Derivatives and SABR
Bianchetti, Marco - 2012
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...
Persistent link: https://www.econbiz.de/10013115115
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Interest Rates After the Credit Crunch : Multiple Curve Vanilla Derivatives and SABR
Bianchetti, Marco - 2011
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...
Persistent link: https://www.econbiz.de/10013120367
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Markets Evolution after the Credit Crunch
Bianchetti, Marco - 2018
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/10012938599
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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: Markets and Models Evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48
We present a quantitative study of the evolution of markets and models during the recent crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor and OIS rates, the explosion of basis swaps spreads, and...
Persistent link: https://www.econbiz.de/10009318572
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - arXiv.org - 2013
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/10010607003
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Interest rates after credit crunch : markets and models evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 35-48
Persistent link: https://www.econbiz.de/10010039075
Cover Image
Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Bianchetti, Marco; Carlicchi, Mattia - arXiv.org - 2011
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...
Persistent link: https://www.econbiz.de/10008869202