Add to ORKGThe investigations into LIBOR have highlighted that it is subject to manipulation. We examine a new method for constructing LIBOR that produces an unbiased estimator of the true rate. LIBOR itself is based solely on transactions. We allow for fines when a bank’s transaction is different than a comparison rate, which depends on the set of transactions and non-manipulated rates elicited by a revealed preference mechanism. These non-manipulated rates will always be used in the fines, but transactions may not. We address how this approach applies to other financial benchmarks and how it works even in markets in which there are few transactions
Financial benchmarks estimate market values or reference rates used in a wide variety of contexts, b...
Barclays has been fined, the British have issued their report, and now the market is anxious for eve...
This thesis studies the validity of unsecured interbank benchmark rates Euribor and Libor. In additi...
The investigations into LIBOR have highlighted that it is subject to manipulation. We examine a new ...
Diehl C. The LIBOR mechanism and Related Games. Center for Mathematical Economics Working Papers. Vo...
The London Interbank O¤ered Rate (Libor) is a set of vital benchmark interest rates to which hundred...
With the London Interbank Offer Rate (LIBOR) likely to disappear at the end of 2021 due to its manip...
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key ...
Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We inter...
The outbreak of the LIBOR scandal in the late 2012 has shocked the world and caused a significant di...
University of Minnesota Ph.D. dissertation. July 2014. Major: Economics. Advisor: Amil Petrin. 1 com...
The discussion concerns the manipulation of the LIBOR rate by banks, securities’ firms, and other fi...
We propose an alternative to the LIBOR based on three pillars. 1) Banks that participate in the rate...
With an eye to providing a methodology for tracking the dynamic integrity of prices for important ma...
The focus of this thesis will be on the policy implications surrounding the mandated transition from...
Financial benchmarks estimate market values or reference rates used in a wide variety of contexts, b...
Barclays has been fined, the British have issued their report, and now the market is anxious for eve...
This thesis studies the validity of unsecured interbank benchmark rates Euribor and Libor. In additi...
The investigations into LIBOR have highlighted that it is subject to manipulation. We examine a new ...
Diehl C. The LIBOR mechanism and Related Games. Center for Mathematical Economics Working Papers. Vo...
The London Interbank O¤ered Rate (Libor) is a set of vital benchmark interest rates to which hundred...
With the London Interbank Offer Rate (LIBOR) likely to disappear at the end of 2021 due to its manip...
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key ...
Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We inter...
The outbreak of the LIBOR scandal in the late 2012 has shocked the world and caused a significant di...
University of Minnesota Ph.D. dissertation. July 2014. Major: Economics. Advisor: Amil Petrin. 1 com...
The discussion concerns the manipulation of the LIBOR rate by banks, securities’ firms, and other fi...
We propose an alternative to the LIBOR based on three pillars. 1) Banks that participate in the rate...
With an eye to providing a methodology for tracking the dynamic integrity of prices for important ma...
The focus of this thesis will be on the policy implications surrounding the mandated transition from...
Financial benchmarks estimate market values or reference rates used in a wide variety of contexts, b...
Barclays has been fined, the British have issued their report, and now the market is anxious for eve...
This thesis studies the validity of unsecured interbank benchmark rates Euribor and Libor. In additi...