ListarCOFIN_Articles por tema "systemic risk"
Mostrando ítems 1-2 de 2
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Dissecting interbank risk using basis swap spreads
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
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 ...
