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The LIBOR reader
Booth, P. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009583081
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The LIBOR Reader
Booth, Philip; Jeffers, Michael - 2021
Short articles on the LIBOR scandal looking for a deeper understanding of the crisisAt the end of June 2012, news of a further scandal in the banking industry broke – although, there was widespread knowledge about this problem within the industry. One UK bank, Barclays, had fines levied by the...
Persistent link: https://www.econbiz.de/10013213236
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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …
Persistent link: https://www.econbiz.de/10011401950
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The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads
Ji, Philip Inyeob; In, Francis Haeuck - In: Journal of international financial markets, … 20 (2010) 5, pp. 575-589
Persistent link: https://www.econbiz.de/10009247741
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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The future of LIBOR
Wood, Trevor - In: The real estate finance journal 33 (2017) 3, pp. 6-8
Persistent link: https://www.econbiz.de/10011868259
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Option-Implied Libor Rate Expectations Across Currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for...
Persistent link: https://www.econbiz.de/10013210457
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US Treasury market default risk and global interbank liquidity risk
Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - In: Borsa Istanbul Review 25 (2025) 1, pp. 66-78
Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...
Persistent link: https://www.econbiz.de/10015334486
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Empirische Tests der Erwartungs- und der Unverzerrtheitshypothese und die Politik der Zentralbank
Kugler, Peter - In: Spekulation, Preisbildung und Volatilität auf Finanz- …, (pp. 153-163). 1998
Persistent link: https://www.econbiz.de/10001322896