LONDON INTER-BANK OFFER RATE (LIBOR) VERSUS TREASURY RATE: EVIDENCE FROM THE PARSIMONIOUS TERM STRUCTURE MODEL - The Treasury curve and the London Inter-Bank Offer Rate (LIBOR) curve are the two most widely used proxies for the risk-free rate or the basis of a discount rate. We find there are significant structural differences between these two curves. On average, the LIBOR curve has a higher ...
| Year of publication: |
1999
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| Authors: | Brooks, Robert ; Yan, David Yong |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 9.1999, 1, p. 71-83
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