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The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
In: Documents de travail du Centre d'Economie de la Sorbonne.
RePEc:mse:cesdoc:14092.

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  1. Counterparty Risk and Funding: The Four Wings of the TVA. (2012). Grbac, Zorana ; St'ephane Cr'epey, ; Gerboud, R'emi ; Ngor, Nathalie.
    In: Papers.
    RePEc:arx:papers:1210.5046.

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References

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  1. Bean, C. (2007). An indicative decomposition of Libor spreads. Quaterly Bulletin of the The Bank of England 47(4), 498–99.
    Paper not yet in RePEc: Add citation now
  2. Bielecki, T. R. and M. Rutkowski (2002). Credit Risk: Modeling, Valuation and Hedging. Springer.
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  3. Brunnermeier, M. and L. Pedersen (2009). Market Liquidity and Funding Liquidity. The Review of Financial Studies 22(6), 2201–2238.

  4. Cr epey, S. (2012a). Bilateral Counterparty risk under funding constraints – Part I: Pricing.
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  5. Cr epey, S. (2012b). Bilateral Counterparty risk under funding constraints – Part II: CVA.
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  6. Cr epey, S., Z. Grbac, and H. N. Nguyen (2012). A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics 6 (3), 155–190.
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  7. Documents de Travail du Centre d'Economie de la Sorbonne - 2014.92
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  8. Documents de Travail du Centre d'Economie de la Sorbonne - 2014.92 Filipovi c, D. and A. B. Trolle (2011). The term structure of interbank risk. Journal of Financial Economics. Forthcoming.
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  9. Eisenschimdt, J. and J. Tapking (2009). Liquidity Risk Premia in Unsecured Interbank Money Markets. Technical Report 1025, ECB Working Paper Series. As explained at the end of Subs. 2.1, Libor manipulations can also be modeled within the framework of this paper by a mock spread in the borrower’s credit risk skew component λt.

  10. Karatzas, I. and S. Shreve (1998). Methods of Mathematical Finance. Springer.
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  11. Mathematical Finance. Online first January 2013.
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  13. Mercurio, F. (2010). A LIBOR market model with a stochastic basis. Risk, December 84–89.
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  14. Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates. The Journal of Finance 29, 449–470.

  15. Morini, M. (2009). Solving the puzzle in the interest rate market. SSRN eLibrary.
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  16. Pallavicini, A., D. Perini, and D. Brigo (2011). Funding valuation adjustment: a consistent framework including cva, dva, collateral,netting rules and re-hypothecation.

  17. Smith, J. (2010). The term structure of money market spreads during the financial crisis. Preprint.
    Paper not yet in RePEc: Add citation now
  18. Wheatley, M. (2012). The Wheatley Review of LIBOR: final report. Technical report.
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