Asgharian, Hossein (contributor); … - 2008
LIBOR rate includes a default risk premium related to
the average default probability of the bank system, the fixed rate of … to higher bank sector
default risk at the same time that Treasury bond rates drop due to flight to quality/flight to … movements of treasuries with equally creditworthy, but less liquid, bonds in times
of high market stress.
13
in the bank …