Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761)
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scientific article; zbMATH DE number 6192158
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities |
scientific article; zbMATH DE number 6192158 |
Statements
Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (English)
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26 July 2013
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sub-prime crisis
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funding liquidity shocks
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LIBOR-OIS spread
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first-passage-time probability
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0.8494011
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0.8456229
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0.84449375
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0.8440423
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0.8426583
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0.8424344
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0.84088796
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0.8404492
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0.8332783
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