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

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