Since the outbreak of the financial crisis in 2007, the level and volatility of the Euribor–OIS
spreads have increased significantly. According to the literature, this variability is mainly …

Regulatory sanctions and lawsuits related to Libor manipulation represent major operational
risks facing large international banks. We find a significant relation between a bank's …

A famous theorem of Hilbert from 1888 states that for given n and d, every positive
semidefinite (psd) real form of degree 2d in n variables is a sum of squares (sos) of real …

What is the precise role of reference rates? Why does it matter if LIBOR was manipulated?
To address these questions, I analyze the use of reference rates in floating-rate loans and …

Abstract The London InterBank Offered Rate (LIBOR) is the most important set of interest
rate benchmarks. Recently there have been reports about systematic manipulation of the …

Increasingly, in the last decade, largely due to perceived greater shareholder pressures for
more profitable performance, compensation maximization has taken center stage in some …

I show that hedge funds with a high exposure to market-wide funding shocks-measured by
changes in LIBOR-OIS spreads-subsequently underperform funds with a low exposure to …

Extracting relevant information on the immense amount of time series data is paramount in
contemporary multivariate analysis. Furthermore, those time series are usually non …

Increasingly, in the last decade, largely due to perceived greater shareholder pressures for
more profitable performance, compensation maximization has taken center stage in some …

This paper shows theoretically and empirically that hedge funds with a strong loading on
funding-risky positions can underperform hedge funds with a weak loading on the same …