Across-the-Curve Credit Spread Indices
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Cited by:
- Klingler, Sven & Syrstad, Olav, 2021. "Life after LIBOR," Journal of Financial Economics, Elsevier, vol. 141(2), pages 783-801.
- Saroyan, Susanna, 2022. "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers 2022-28, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Darrell Duffie & Cooperman Harry & Stephan Luck & Zachry Wang & Yilin Yang, 2022.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Staff Reports
1042, Federal Reserve Bank of New York.
- Harry R. Cooperman & Darrell Duffie & Stephan Luck & Zachry Z. Wang & Yilin Yang, 2023. "Bank Funding Risk, Reference Rates, and Credit Supply," NBER Working Papers 30907, National Bureau of Economic Research, Inc.
- Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
- Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
- David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
- Karol Gellert & Erik Schlogl, 2021.
"Short Rate Dynamics: A Fed Funds and SOFR Perspective,"
Research Paper Series
420, Quantitative Finance Research Centre, University of Technology, Sydney.
- Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers 2101.04308, arXiv.org.
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