Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities

DOI10.1007/S10690-012-9162-ZzbMath1270.91095OpenAlexW3123571404MaRDI QIDQ356761

Cho-Hoi Hui, Tsz-Kin Chung, Chi-Fai Lo

Publication date: 26 July 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9162-z

zbMATH Keywords

sub-prime crisisfirst-passage-time probabilityfunding liquidity shocksLIBOR-OIS spread

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Cites Work

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• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• A Theory of the Term Structure of Interest Rates
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*

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