LIBOR troubles: Anomalous movements detection based on maximum entropy

According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their...

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Detalles Bibliográficos
Autores principales: Bariviera, Aurelio F., Martín, María Teresa, Plastino, Ángel Luis, Vampa, Victoria Cristina
Formato: Articulo
Lenguaje:Inglés
Publicado: 2016
Materias:
Física
Maximum Entropy
LIBOR manipulation
Interest rates
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/130644
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-130644
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Física
Maximum Entropy
LIBOR manipulation
Interest rates
spellingShingle Física
Maximum Entropy
LIBOR manipulation
Interest rates
Bariviera, Aurelio F.
Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
LIBOR troubles: Anomalous movements detection based on maximum entropy
topic_facet Física
Maximum Entropy
LIBOR manipulation
Interest rates
description According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. In 2012, several newspapers’ articles began to cast doubt on LIBOR integrity, leading surveillance authorities to conduct investigations on banks’ behavior. Such procedures resulted in severe fines imposed to involved banks, who recognized their financial inappropriate conduct. In this paper, we uncover such unfair behavior by using a forecasting method based on the Maximum Entropy principle. Our results are robust against changes in parameter settings and could be of great help for market surveillance.
format Articulo
Articulo
author Bariviera, Aurelio F.
Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
author_facet Bariviera, Aurelio F.
Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
author_sort Bariviera, Aurelio F.
title LIBOR troubles: Anomalous movements detection based on maximum entropy
title_short LIBOR troubles: Anomalous movements detection based on maximum entropy
title_full LIBOR troubles: Anomalous movements detection based on maximum entropy
title_fullStr LIBOR troubles: Anomalous movements detection based on maximum entropy
title_full_unstemmed LIBOR troubles: Anomalous movements detection based on maximum entropy
title_sort libor troubles: anomalous movements detection based on maximum entropy
publishDate 2016
url http://sedici.unlp.edu.ar/handle/10915/130644
work_keys_str_mv AT barivieraaureliof libortroublesanomalousmovementsdetectionbasedonmaximumentropy
AT martinmariateresa libortroublesanomalousmovementsdetectionbasedonmaximumentropy
AT plastinoangelluis libortroublesanomalousmovementsdetectionbasedonmaximumentropy
AT vampavictoriacristina libortroublesanomalousmovementsdetectionbasedonmaximumentropy
bdutipo_str Repositorios
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