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Article Dans Une Revue Bloomberg Brief / Risk Année : 2013

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

Résumé

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.
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hal-01477891 , version 1 (27-02-2017)

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  • HAL Id : hal-01477891 , version 1

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