Lois: credit and liquidity

Stéphane Crépey () and Raphael Douady ()
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Stéphane Crépey: LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - INRA - Institut National de la Recherche Agronomique - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders' liquidity and typical borrowers' credit risk.

Keywords: Modelling; Equilibrium modeling; Economy; Mathematical Analysis (search for similar items in EconPapers)
Date: 2013-06
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Citations: View citations in EconPapers (8)

Published in Risk, 2013

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Working Paper: Lois: credit and liquidity (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01477998

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