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