From LIBOR to OIS: exploring the transition to risk-free rates and how it affected interest reta SWAPs
Trippetti, Saverio (A.A. 2022/2023) From LIBOR to OIS: exploring the transition to risk-free rates and how it affected interest reta SWAPs. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 43. [Bachelor's Degree Thesis]
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Abstract/Index
The rise and fall of LIBOR: from global benchmark to discontinuation. The London interbank offered rate. The 2007 LIBOR decline. Implications and hurdles of LIBOR discontinuation. Transitioning to stability: the adoption of risk-free rates post-LIBOR. The new risk-free rates. Key challenges in the transition from LIBOR to RFR. Transition impact: the value transfer. IRS-OIS spread: an indicator orìf the interbank risk. The overnight index SWAPs and the OIS curve. The relation with the OIS-LIBOR spread.
References
Bibliografia: pp. 42-43.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Mar 2024 15:44 |
| Last Modified: | 06 Mar 2024 15:44 |
| URI: | https://tesi.luiss.it/id/eprint/38102 |
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