LIBOR Manipulation : Cui Bono?


Dateien zu dieser Ressource

Prüfsumme: MD5:99c4740daaf6c9364d062322b958566c

GHANDI, Priyank, Benjamin GOLEZ, Jens JACKWERTH, Alberto PLAZZI, 2015. LIBOR Manipulation : Cui Bono?

@techreport{Ghandi2015LIBOR-26823, title={LIBOR Manipulation : Cui Bono?}, year={2015}, author={Ghandi, Priyank and Golez, Benjamin and Jackwerth, Jens and Plazzi, Alberto} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:title>LIBOR Manipulation : Cui Bono?</dcterms:title> <dcterms:issued>2015</dcterms:issued> <dcterms:available rdf:datatype="">2015-11-18T12:09:09Z</dcterms:available> <dc:contributor>Plazzi, Alberto</dc:contributor> <dc:date rdf:datatype="">2015-11-18T12:09:09Z</dc:date> <dc:creator>Golez, Benjamin</dc:creator> <bibo:uri rdf:resource=""/> <dc:creator>Ghandi, Priyank</dc:creator> <dc:creator>Jackwerth, Jens</dc:creator> <dc:language>eng</dc:language> <dc:contributor>Golez, Benjamin</dc:contributor> <dcterms:rights rdf:resource=""/> <dc:contributor>Ghandi, Priyank</dc:contributor> <dc:creator>Plazzi, Alberto</dc:creator> <dc:contributor>Jackwerth, Jens</dc:contributor> <dcterms:abstract xml:lang="eng">Regulatory sanctions and lawsuits related to Libor manipulation represent major operational risks facing large international banks. We find a significant relation between a bank’s measure of Libor exposure and its average monthly submission, from which Libor is subsequently computed, during 1999 to 2012. The relation is stronger during the January 2005 to May 2009 manipulation period (as per Barclays settlement), for currencies and maturities with substantial notional amounts of interest rate derivatives outstanding, and for banks that have settled Libor related lawsuits. We estimate that such manipulation could have increased the market value of the panel banks by $22.76 billion.</dcterms:abstract> <dcterms:rights rdf:resource=""/> <dc:rights>deposit-license</dc:rights> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 18.11.2015 (Informationen über die Zugriffsstatistik)

Ghandi_268232.pdf 356

Das Dokument erscheint in:


Version Dokument Datum Zusammenfassung Publikationsstatus

* Ausgewählte Version

KOPS Suche


Mein Benutzerkonto