Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
Cho-Hoi Hui; Tsz-Kin Chung; Chi-Fai Lo
| Year of publication: |
2013
|
|---|---|
| Authors: | Hui, Cho H. ; Chung, Tsz-kin ; Lo, Chi-fai |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 20.2013, 2, p. 131-146
|
| Subject: | Zinsderivat | Interest rate derivative | Derivat | Derivative | Schock | Shock | Theorie | Theory | Zinsstruktur | Yield curve | Liquidität | Liquidity | Zins | Interest rate |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009750729