ListarCOFIN_Articles por tema "basis swaps"

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    • closedAccess   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) ...