Lost in the LIBOR transition
Alex Backwell, Andrea Macrina, Erik Schlögl and David Skovmand
| Year of publication: |
2025
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|---|---|
| Authors: | Backwell, Alex ; Macrina, Andrea ; Schlögl, Erik ; Skovmand, David |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 1, p. 17-30
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| Subject: | Basis risk | Interest rate swaps | LIBOR benchmark reform | OIS | Overnight interest rate benchmarks | Roll-over risk | SOFR | SONIA | Term rates | Term risk and term premium | Term-based information differential | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Risiko | Risk | Risikoprämie | Risk premium | Theorie | Theory | Benchmarking | Swap | Zinsrisiko | Interest rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2436651 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534047