Systemic perspective of term risk in bank funding markets

DOI10.1142/s0219024924500018MaRDI QIDQ6644193

Andrea Macrina, Obeid Mahomed

Publication date: 27 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

interbank marketliquidity riskinterest rate derivativesmoney marketpricing kernelsterm ratesLIBOR transitionbenchmark reformSONIA and SOFR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

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• A consistent stochastic model of the term structure of interest rates for multiple tenors
• Contagion! Systemic Risk in Financial Networks
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• Liquidity risk theory and coherent measures of risk
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach

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