Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
Hui, Cho-Hoi, Chung, Tsz-Kin, Lo, Chi-FaiVolume:
20
Language:
english
Journal:
Asia-Pacific Financial Markets
DOI:
10.1007/s10690-012-9162-z
Date:
May, 2013
File:
PDF, 582 KB
english, 2013