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Interest Rate Manipulation Detection using Time Series Clustering Approach

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  • Murphy Choy
  • Enoch Chng
  • Koo Ping Shung
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    Abstract

    The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that Interbank Offered Rate are entirely controlled by the bank. The paper will focus on the comparison between LIBOR and SIBOR especially with regards to the behavior of the interest rate with time. Because of the nature of IBORs, banks will naturally be submitting similar rates which should not differ excessively from the market as well as the other banks. We will compare the LIBOR and SIBOR from 2005 to 2011 with respect to the 1 month rates on an annual basis. We will present the result that the SIBOR is not manipulated like LIBOR.

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    File URL: http://arxiv.org/pdf/1208.2878
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    Paper provided by arXiv.org in its series Papers with number 1208.2878.

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    Date of creation: Aug 2012
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    Handle: RePEc:arx:papers:1208.2878

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    Web page: http://arxiv.org/

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