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The effect of underreporting on LIBOR rates

Monticini, Andrea; Thornton, Daniel L. - In: Journal of macroeconomics 37 (2013), pp. 345-348

Persistent link: https://www.econbiz.de/10010237905

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

What determines the yen swap spread?

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011475583

Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen

Holthusen, Jan - In: Geld- und Wirtschaftspolitik in gesellschaftlicher …, (pp. 255-267). 2004

Persistent link: https://www.econbiz.de/10002412082

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

Persistent link: https://www.econbiz.de/10010259457

Testing the expectations hypothesis in euro overnight interest swap rates

Hernandis, Lucía; Torró, Hipòlit - 2012

Persistent link: https://www.econbiz.de/10010193515

Aspects of systemic risk in banking : Inter Bank Loans, Optimal Bank Size and the Swiss Regional Bank Crisis

Staub, Markus - 1999 - Als Ms. gedr

Persistent link: https://www.econbiz.de/10001381943

The Effects of the Spread Risk in Terms of Basis Points From Changes in the Market Prices of Callable Bond Future Due to Credit Risk : Evidence From the Twist Effect of the Yield Curve in Greece

Guirguis, Michel - 2021

In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...

Persistent link: https://www.econbiz.de/10013232222

The determinants of credit risk : analysis of US industry-level indices

Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; Nur Azura … - In: Global business review 19 (2018) 5, pp. 1152-1165

Persistent link: https://www.econbiz.de/10011929701

Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model

Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62

Persistent link: https://www.econbiz.de/10001530342