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- W2006404614 abstract "The Treasury curve and the London Inter–Bank Offer Rate (LIBOR) curve are the two most widely used proxies for the risk-free rate or the basis of a discount rate. We find there are significant structural differences between these two curves. On average, the LIBOR curve has a higher level and is steeper, while the Treasury curve has more curvature. In some extreme cases, the two curves could be completely different and move in opposite directions. We also find that, in short term, the difference in the slope dominates the difference in the curvature. The findings of this study are important to asset valuation and interest rate risk management." @default.
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- W2006404614 date "1999-06-30" @default.
- W2006404614 modified "2023-09-25" @default.
- W2006404614 title "London Inter–Bank Offer Rate (LIBOR) versus Treasury Rate" @default.
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- W2006404614 doi "https://doi.org/10.3905/jfi.1999.319232" @default.
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