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pro vyhledávání: '"Zhengye Bian"'
Publikováno v:
The Journal of Risk Model Validation.
Publikováno v:
SSRN Electronic Journal.
Following the 2008 financial crisis, interest rate market experienced major changes in the ways Libor rate was treated. Since Libor is not a risk free rate, the dual curve bootstrapping (Libor-OIS) has been introduced. The term risk premium (e.g., 3m