Lois: credit and liquidity.

Authors

CREPEY Stephane
DOUADY Raphael

Publication date

2013

Publication type

Journal Article

Summary 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.

Topics of the publication

Mathematical Analysis
Economy
Modelling
Equilibrium modeling
...

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