Add to ORKGSOFR is expected to phase out USD LIBOR in the near future. The two rates are intrinsically differen...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexe...
Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We inter...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
One of the on-going consequences of recent financial crises seems to be that the conventional '...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper investigates the key role played by different factors, such as the use of Asset Backed Co...
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail/Do...
The London Inter Bank Offered Rate, or LIBOR, is used to reflect the cost of unsecured, overnight d...
The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LI...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
International audienceSince the 2007 subprime crisis, OIS and Libor markets (Eonia and Euribor in th...
This paper studies liquidity risk contagion within the interbank market by assessing the long-run re...
With the London Interbank Offer Rate (LIBOR) likely to disappear at the end of 2021 due to its manip...
SOFR is expected to phase out USD LIBOR in the near future. The two rates are intrinsically differen...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexe...
Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We inter...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
One of the on-going consequences of recent financial crises seems to be that the conventional '...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
This paper investigates the key role played by different factors, such as the use of Asset Backed Co...
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail/Do...
The London Inter Bank Offered Rate, or LIBOR, is used to reflect the cost of unsecured, overnight d...
The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LI...
This paper develops a structured dynamic factor model for the spreads between London Interbank Offer...
International audienceSince the 2007 subprime crisis, OIS and Libor markets (Eonia and Euribor in th...
This paper studies liquidity risk contagion within the interbank market by assessing the long-run re...
With the London Interbank Offer Rate (LIBOR) likely to disappear at the end of 2021 due to its manip...
SOFR is expected to phase out USD LIBOR in the near future. The two rates are intrinsically differen...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexe...
Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We inter...