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LIBOR vs. OIS: The Derivatives Discounting Dilemma · Study

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PreprintLIBOR vs. OIS: The Derivatives Discounting Dilemma

John C. Hull2013

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Preprintgreen2013

LIBOR vs. OIS: The Derivatives Discounting Dilemma

John C. Hull · Alan D White

100 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

2001Explaining the Rate Spread on Corporate Bonds 2001On the Term Structure of Default Premia in the Swap and LIBOR Markets 2000The term structure of very short-term rates: New evidence for the expectations hypothesis 2010“Explaining the Rate Spread on Corporate Bonds”2012CVA and Wrong-Way Risk 2012Counterparty Credit Risk and Credit Value Adjustment

Cited by

2019Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads 2015Valuation and Hedging of Contracts with Funding Costs and Collateralization 2021Life after LIBOR 2013Valuing Derivatives: Funding Value Adjustments and Fair Value 2016Kriging of financial term-structures 2020Benchmark interest rates when the government is risky 2016A Comparative Analysis of Tools to Limit the Procyclicality of Initial Margin Requirements 2021Engineering lemons

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations100

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2211800

openalex_workW2118046896

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