LIBOR Manipulation : Cui Bono?

Thumbnail Image
Date
2015
Authors
Ghandi, Priyank
Golez, Benjamin
Plazzi, Alberto
Editors
Contact
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
URI (citable link)
DOI (citable link)
ArXiv-ID
International patent number
Link to the license
EU project number
Project
Open Access publication
Restricted until
Title in another language
Research Projects
Organizational Units
Journal Issue
Publication type
Working Paper/Technical Report
Publication status
Submitted
Published in
Abstract
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.
Summary in another language
Subject (DDC)
330 Economics
Keywords
financial market, misconduct, enforcement
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690GHANDI, Priyank, Benjamin GOLEZ, Jens Carsten JACKWERTH, Alberto PLAZZI, 2015. LIBOR Manipulation : Cui Bono?
BibTex
@techreport{Ghandi2015LIBOR-26823,
  year={2015},
  title={LIBOR Manipulation : Cui Bono?},
  author={Ghandi, Priyank and Golez, Benjamin and Jackwerth, Jens Carsten and Plazzi, Alberto}
}
RDF
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Contact
URL of original publication
Test date of URL
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
Yes
Refereed

Version History

Now showing 1 - 2 of 2
VersionDateSummary
2*
2015-11-16 13:39:25
Textänderungen
2014-03-15 16:30:55
* Selected version