Lois: credit and liquidity

Stéphane Crépey and Raphaël Douady
28 May 2013

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Most fixed-income derivatives reference Libor or the euro interbank offered rate (Euribor), calculated daily at tenors up to a year as an average of the rates at which a panel of banks believe they can obtain unsecured funding. In the past, these were nearly identical to the overnight indexed swap (OIS) rates, which are calculated by compounding some rate reflecting the cost of unsecured overnight interbank lending, such as the federal funds rate or the euro overnight index average (Eonia) rate

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