Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
scientific article

    Statements

    Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (English)
    0 references
    0 references
    0 references
    0 references
    26 July 2013
    0 references
    sub-prime crisis
    0 references
    funding liquidity shocks
    0 references
    LIBOR-OIS spread
    0 references
    first-passage-time probability
    0 references

    Identifiers