Skip to Main content Skip to Navigation
Journal articles

Lois: credit and liquidity

Abstract : The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk.
Document type :
Journal articles
Complete list of metadata

https://hal.archives-ouvertes.fr/hal-01477998
Contributor : UMR 8174 Centre d'Économie de la Sorbonne Connect in order to contact the contributor
Submitted on : Monday, February 27, 2017 - 6:15:49 PM
Last modification on : Friday, April 29, 2022 - 10:12:43 AM

Identifiers

  • HAL Id : hal-01477998, version 1

Collections

Citation

Stéphane Crépey, Raphaël Douady. Lois: credit and liquidity. Risk Magazine, 2013. ⟨hal-01477998⟩

Share

Metrics

Record views

110