Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761)
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English | Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities |
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Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (English)
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26 July 2013
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sub-prime crisis
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funding liquidity shocks
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LIBOR-OIS spread
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first-passage-time probability
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