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.
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Journal articles
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https://hal.archives-ouvertes.fr/hal-01477998
Contributor : Umr 8174 Centre d'Économie de la Sorbonne <>
Submitted on : Monday, February 27, 2017 - 6:15:49 PM
Last modification on : Tuesday, January 30, 2018 - 5:50:04 PM

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  • HAL Id : hal-01477998, version 1

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

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