Listar por autoría "e1a5995e-86f1-4b6e-a4d6-69096a1d2bf0"
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Dissecting interbank risk using basis swap spreads
Lafuente-Luengo, Juan Angel; Petit, Nuria; Ruiz, Jesus; Serrano, Pedro Wiley (2019)This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To identify ... -
Forecasting multiple-term structures from interbank rates
Lafuente-Luengo, Juan Angel; Petit, Nuria; Serrano, Pedro Elsevier (2018-02)The classic relationship between deposit rates and interest rate derivatives has been fractured since August 2007. Uncertainty in the interbank money market has increased the risk premia differentials on unsecured deposit ... -
Pricing factors in multiple-term structures from interbank
Lafuente-Luengo, Juan Angel; Petit, Nuria; Serrano, Pedro Elsevier (2019-03)This article analyzes the reward for the risk embedded in interbank derivatives, seeking to characterize the size and economic sources of the components of this risk premium in interbank spread quotes. The basis swap (BS) ...