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Journal Articles Bloomberg Brief / Risk Year : 2013

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.
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Dates and versions

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

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  • HAL Id : hal-01477891 , version 1

Cite

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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