伦敦银行同业拆借利率置换——漫长而曲折的道路

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Structured Finance Pub Date : 2019-07-31 DOI:10.3905/JSF.2019.25.2.028

Thomas M. Hughes

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引用次数: 0

摘要

伦敦银行同业拆放利率是全球市场的基础，但其设计使其不适合其多种用途，从而产生了巨大的监管压力，要求取消伦敦银行同业拆借利率，转而采用更合适的基准。然而，取代伦敦银行同业拆借利率给市场参与者带来了一系列新的风险，其中一些风险是可以预见的，一些风险是随着过渡的进行而出现的。本文对这些风险进行了剖析，并将其植根于现代金融史。主题：固定收益和结构性金融、信息提供商/信用评级、风险管理、伦敦银行同业拆借利率、基准、基准改革

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LIBOR Replacement—The Long and Winding Road

LIBOR is foundational to global markets, but its design makes it unsuitable for the many uses to which it is put, creating enormous regulatory pressure to retire LIBOR in favor of more suitable benchmarks. Replacing LIBOR, however, is throwing up a new set of risks for market participants, some of which have been foreseen, and some of which are emerging as the transition gets under way. This article anatomizes those risks and roots them in the history of modern finance. TOPICS: Fixed income and structured finance, information providers/credit ratings, risk management, LIBOR, benchmarks, benchmark reform

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来源期刊

Journal of Structured Finance BUSINESS, FINANCE-

CiteScore

0.60

自引率

25.00%

发文量

期刊介绍： The Journal of Structured Finance (JSF) is the only international, peer-reviewed journal devoted to empirical analysis and practical guidance on structured finance instruments, techniques, and strategies. JSF covers a wide range of topics including credit derivatives and synthetic securitization, secondary trading in the CDO market, securitization in emerging markets, trends in major consumer loan categories, accounting, regulatory, and tax issues in the structured finance industry.