A multiple-curve HJM model of interbank risk

@inproceedings{Crpey2012AMH,
  title={A multiple-curve HJM model of interbank risk},
  author={St{\'e}phane Cr{\'e}pey and Zorana Grbac and H. Nguyen},
  year={2012}
}
In the aftermath of the 2007-2009 nancial crisis, a variety of spreads have developed between quantities that had been essentially the same until then, notably LIBOR-OIS spreads, LIBOR-OIS swap spreads, and basis swap spreads. By the end of 2011, with the sovereign credit crisis, these spreads were again signi cant. In this paper we study the valuation of LIBOR interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and LIBOR curves… CONTINUE READING
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