The classic relationship between deposit rates and interest rate derivatives has been
fractured since August 2007. Uncertainty in the interbank money market has increased the …

This article analyzes the reward for the risk embedded in interbank derivatives, seeking to
characterize the size and economic sources of the components of this risk premium in …

The classic relationship between deposit rates and interest rate derivatives has been
fractured since August 2007. Uncertainty in the interbank money market has increased the …

This dissertation consists of four chapters. In the first chapter, I analyze strategic
underreporting of market risk for a sample of North American and European Banks from …

This doctoral dissertation is composed of three independent essays focused on the analysis
of interbank market spreads in the Euro-area during the post-crisis period and studying the …

This paper analyses interbank risk using the information content of basis swap (BS) spreads,
floating-to-floating interest rate swaps whose payments are associated with euro deposit …

Esta tesis lleva por título¿ Tres ensayos sobre la multiplicidad de curvas de tipos de interés
en el mercado interbancario¿ y está compuesta por tres artículos de investigación …