The Whys of the LOIS: Credit Skew and Funding Rates Volatility

Abstract : Since the 2007 subprime crisis, OIS and Libor markets (Eonia and Euribor in the EUR market) diverged suddenly (See Fig.1 and 2). In this note we show how, by optimizing their lending between Libor and OIS markets, banks are led to apply a spread (LOIS) over the OIS rate when lending at Libor.
Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-01477891
Contributor : Umr 8174 Centre d'Économie de la Sorbonne <>
Submitted on : Monday, February 27, 2017 - 5:16:42 PM
Last modification on : Tuesday, January 30, 2018 - 5:50:04 PM

Identifiers

  • HAL Id : hal-01477891, version 1

Collections

Citation

Stéphane Crépey, Raphaël Douady. The Whys of the LOIS: Credit Skew and Funding Rates Volatility. Bloomberg Brief / Risk, Bloomberg Laboratory, 2013, pp.6-7. ⟨hal-01477891⟩

Share

Metrics

Record views

223