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Article Dans Une Revue Risk Magazine Année : 2013

Lois: credit and liquidity

Résumé

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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hal-01477998 , version 1 (27-02-2017)

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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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