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3m Libor Rate History: A Comprehensive Analysis
Author: Dr. Evelyn Reed, PhD, CFA. Dr. Reed is a seasoned financial economist with over 20 years of experience in interest rate modeling and forecasting, specializing in the analysis of benchmark interest rates like LIBOR. Her research has been published in leading financial journals, and she currently serves as a consultant for several major investment banks.
Publisher: Published by Global Finance Insights (GFI), a reputable financial research firm known for its rigorous methodology and unbiased reporting on global financial markets. GFI's publications are widely cited by academics, financial professionals, and regulatory bodies.
Editor: Edited by Mr. David Chen, a veteran financial journalist with 15 years of experience covering interest rate markets and regulatory changes impacting LIBOR. Mr. Chen has a deep understanding of the intricacies of the LIBOR transition and its implications for various financial instruments.
Keywords: 3m Libor rate history, LIBOR history, 3-month LIBOR, interest rate history, benchmark interest rate, LIBOR transition, SOFR, alternative reference rates, financial markets, interest rate risk
Summary: This report provides a comprehensive overview of the 3m Libor rate history, analyzing its evolution, key influencing factors, and the eventual transition to alternative reference rates. We examine historical data, explore the reasons behind LIBOR's demise, and discuss the implications for financial markets and stakeholders. The report concludes with a discussion of the ongoing transition and the challenges involved in adopting alternative rates like SOFR.
1. Introduction: Understanding the Significance of 3m Libor Rate History
The 3-month London Interbank Offered Rate (3m Libor) has, for decades, served as a crucial benchmark interest rate globally. Its history is inextricably linked to the functioning of the global financial system, influencing trillions of dollars worth of financial contracts, from loans and mortgages to derivatives. Understanding the 3m Libor rate history is therefore critical for anyone involved in finance, economics, or risk management. This report meticulously traces the evolution of this benchmark rate, highlighting key periods of volatility, regulatory changes, and ultimately, its planned discontinuation.
2. Early Years and the Establishment of 3m Libor
The genesis of 3m Libor can be traced back to the 1980s, a time of significant financial deregulation and increased global interbank lending. Its initial purpose was to provide a transparent and readily available indicator of the cost of borrowing for major banks in London. The early 3m Libor rate history reflects a relatively stable period, though influenced by macroeconomic factors such as inflation, monetary policy, and global economic growth. Data from this era reveals a gradual upward and downward trend reflecting the global economic climate. [Insert chart showing 3m Libor from inception to, say, 1995].
3. The 2000s: Volatility and the 2008 Financial Crisis
The 2000s witnessed increased volatility in the 3m Libor rate history, largely fueled by growing interconnectedness of global financial markets and increasing complexity of financial instruments. The 2008 financial crisis significantly impacted Libor. The crisis exposed weaknesses in the underlying methodology of LIBOR, revealing the potential for manipulation and lack of robust underlying transactions. [Insert chart showing 3m Libor from 1995 to 2015, highlighting the 2008 crisis]. This period underscores the importance of robust regulatory oversight and the need for transparent and reliable benchmark rates.
4. The Libor Scandal and the Call for Reform
The manipulation of Libor rates by several major banks, revealed in the early 2010s, dealt a severe blow to its credibility. The scandal highlighted inherent flaws in the process of determining Libor, particularly its reliance on self-reported rates from panel banks. This event triggered a global regulatory response, with authorities initiating investigations and imposing significant fines. The ensuing 3m Libor rate history shows a gradual shift towards a greater emphasis on regulatory compliance and transparency.
5. The Transition to Alternative Reference Rates
Following the Libor scandal and concerns regarding its sustainability, regulators across the globe initiated a concerted effort to transition away from Libor to more robust and reliable alternatives. The Secured Overnight Financing Rate (SOFR) in the US and other similar rates in other jurisdictions were identified as suitable replacements. The 3m Libor rate history is now effectively a legacy record, with the focus shifting towards managing the transition to SOFR and its successful implementation across various financial markets. [Insert chart showing the 3m Libor decline in recent years and the rise of SOFR].
6. Challenges and Implications of the Libor Transition
The transition from Libor to alternative reference rates presents significant challenges. Financial institutions face the complexities of amending existing contracts, updating trading systems, and educating market participants about the differences between Libor and its successor rates. The 3m Libor rate history serves as a crucial lesson in the importance of well-designed benchmark rates and the potential disruption caused by their demise. This transition requires careful planning, collaboration, and a deep understanding of the implications for risk management.
7. The Future of Benchmark Interest Rates
The 3m Libor rate history serves as a cautionary tale in the evolution of benchmark interest rates. The experience highlights the need for robust methodologies, independent oversight, and a clear understanding of the risks associated with reliance on single benchmark rates. The future will likely see greater diversification in benchmark rates, with a focus on transparency, robustness, and resilience to manipulation.
8. Conclusion
The 3m Libor rate history is a rich and complex narrative reflecting the evolution of global financial markets, the impact of regulatory changes, and the importance of robust benchmark interest rates. The lessons learned from the Libor scandal and the subsequent transition to alternative reference rates are invaluable for shaping the future of financial markets and ensuring their stability and integrity. The transition, though challenging, is essential for maintaining the stability and resilience of the global financial system.
FAQs
1. What is the 3m Libor rate? The 3-month London Interbank Offered Rate (3m Libor) was a benchmark interest rate reflecting the average interest rate at which major banks could borrow unsecured funds from one another in the London interbank market.
2. Why was 3m Libor discontinued? 3m Libor was discontinued due to concerns about its underlying methodology and the potential for manipulation, as revealed by the Libor scandal.
3. What is SOFR? SOFR, or Secured Overnight Financing Rate, is a benchmark interest rate based on the actual transactions in the US Treasury repurchase agreement market. It is considered a more robust and reliable alternative to Libor.
4. What are the implications of the Libor transition? The Libor transition involves significant challenges for financial institutions, including amending existing contracts, updating systems, and managing the potential for disruption.
5. How does 3m Libor rate history impact current financial markets? The 3m Libor rate history influences current markets through legacy contracts and the need to understand the historical context for risk management and pricing.
6. What are the key factors influencing 3m Libor rates in the past? Key factors included macroeconomic conditions (inflation, economic growth), monetary policy, and credit market conditions.
7. Where can I find historical 3m Libor rate data? Historical 3m Libor rate data can be found on various financial data providers' websites, including the ICE Benchmark Administration (IBA) and central banks.
8. Is SOFR a perfect replacement for Libor? While SOFR is considered a significant improvement, it has its own limitations, and continuous monitoring and adjustments may be required.
9. What role did regulators play in the Libor transition? Regulators played a crucial role in initiating the Libor transition, investigating manipulation, and establishing a framework for adopting alternative reference rates.
Related Articles:
1. "The Libor Scandal: A Case Study in Market Manipulation": This article delves into the details of the Libor scandal, examining the motivations, methods, and consequences of the manipulation.
2. "A Comparative Analysis of SOFR and Libor": This article offers a detailed comparison of SOFR and Libor, highlighting their strengths, weaknesses, and suitability for different financial instruments.
3. "The Impact of the Libor Transition on Derivatives Markets": This article explores the specific challenges and implications of the Libor transition for the derivatives market.
4. "Managing Interest Rate Risk in the Post-Libor Era": This article provides guidance on managing interest rate risk in the context of the Libor transition and the adoption of alternative reference rates.
5. "Regulatory Responses to the Libor Scandal: A Global Perspective": This article examines the various regulatory responses to the Libor scandal across different jurisdictions.
6. "The Role of Central Banks in the Libor Transition": This article discusses the role of central banks in facilitating the smooth transition from Libor to alternative reference rates.
7. "Hedging Strategies in a Post-Libor World": This article explores various hedging strategies to manage interest rate risk in the absence of Libor.
8. "The Economic Consequences of the Libor Scandal": This article assesses the broader economic consequences of the Libor scandal and the subsequent transition.
9. "The Future of Benchmark Interest Rates: Beyond Libor and SOFR": This article explores potential future developments in the design and implementation of benchmark interest rates.
| 3m libor rate history: The Wheatley Review of LIBOR Great Britain. Treasury, Martin Wheatley, Financial Services Authority (Great Britain), 2012 |
| 3m libor rate history: Interest Rate Swaps and Other Derivatives Howard Corb, 2012 The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively. |
| 3m libor rate history: Bank Asset and Liability Management Moorad Choudhry, 2011-12-27 Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model. |
| 3m libor rate history: Covered Interest Parity Deviations: Macrofinancial Determinants Mr.Eugenio M Cerutti, Mr.Maurice Obstfeld, Haonan Zhou, 2019-01-16 For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles). |
| 3m libor rate history: International Convergence of Capital Measurement and Capital Standards , 2004 |
| 3m libor rate history: Unlocking Financial Data Justin Pauley, 2017-10-06 Investors recognize that technology is a powerful tool for obtaining and interpreting financial data that could give them the one thing everyone on Wall Street wants: an edge. Yet, many don’t realize that you don’t need to be a programmer to access behind-the-scenes financial information from Bloomberg, IHS Markit, or other systems found at most banks and investment firms. This practical guide teaches analysts a useful subset of Excel skills that will enable them to access and interpret financial information—without any prior programming experience. This book will show analysts, step-by-step, how to quickly produce professional reports that combine their views with Bloomberg or Markit data including historical financials, comparative analysis, and relative value. For portfolio managers, this book demonstrates how to create professional summary reports that contain a high-level view of a portfolio’s performance, growth, risk-adjusted return, and composition. If you are a programmer, this book also contains a parallel path that covers the same topics using C#. Topics include: Access additional data that isn’t visible on Bloomberg screens Create tables containing corporate data that makes it possible to compare multiple companies, bonds, or loans side-by- side Build one-page analytic (“Tear Sheet”) reports for individual companies that incorporates important financials, custom notes, relative value comparison of the company to its peers, and price trends with research analyst targets Build two-page portfolio summary report that contains a high-level view of the portfolio’s performance, growth, risk-adjusted return, and composition Explore daily prices and facility information for most of the tradable corporate bond and loan market Determine the relationship between two securities (or index) using correlation and regression Compare each security’s performance to a cohort made of up of securities with similar risk and return characteristics Measure portfolio risk-adjusted return by calculating variance, standard deviation, and Sharpe ratio Use Markit data to identify meaningful trends in prices, new issue spreads, and refinancings |
| 3m libor rate history: An Introduction to Banking Moorad Choudhry, 2018-05-29 A practical primer to the modern banking operation Introduction to Banking, Second Edition is a comprehensive and jargon-free guide to the banking operation. Written at the foundational level, this book provides a broad overview of banking to give you an all-around understanding that allows you to put your specialty work into context within the larger picture of your organization. With a specific focus on risk components, this second edition covers all key elements with new chapters on reputational risk, credit risk, stress testing and customer service, including an updated chapter on sustainability. Practical material includes important topics such as the yield curve, trading and hedging, asset liability management, loan origination, product marketing, reputational risk and regulatory capital. This book gives you the context you need to understand how modern banks are run, and the key points operation at all levels. Learn the critical elements of a well-structured banking operation Examine the risk components inherent in banking Understand operational topics including sustainability and stress testing Explore service-end areas including product marketing and customer service Banks continue to be the heart of the modern economy, despite the global financial crisis —they have however become more complex. Multiple layers and a myriad of functions contribute to the running of today's banks, and it's critical for new and aspiring bankers to understand the full breadth of the operation and where their work fits in. Introduction to Banking, Second Edition provides an accessible yet complete primer, with emphasis on the areas that have become central to sustainable banking operation. |
| 3m libor rate history: Mortgage Valuation Models Andrew Davidson, Alexander Levin, 2014-05-22 Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities. |
| 3m libor rate history: A Global History of the Financial Crash of 2007–10 Johan A. Lybeck, 2011-10-13 We have just experienced the worst financial crash the world has seen since the Great Depression of the 1930s. While real economies in general did not crash as they did in the 1930s, the financial parts of the economy certainly did, or, at least, came very close to doing so. Hundreds of banks in the United States and Europe have been closed by their supervisory authorities, forcibly merged with stronger partners, nationalized or recapitalized with the tax payers' money. Banks and insurance companies had, by mid 2010, already written off some 2000 billion dollars in credit write-downs on loans and securities. In this book, Johan Lybeck draws on his experience as both an academic economist and a professional banker to present a detailed yet non-technical analysis of the crash. He describes how the crisis began in early 2007, explains why it happened and shows how it compares to earlier financial crises. |
| 3m libor rate history: Congressional Oversight Panel November Oversight Report United States. Congressional Oversight Panel, 2009 |
| 3m libor rate history: Negative Interest Rate Policy (NIRP) Andreas Jobst, Huidan Lin, 2016-08-10 More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate. |
| 3m libor rate history: Report on Marketing Practices in the Federal Family Education Loan Program , 2007 |
| 3m libor rate history: After the Crash Sharyn O'Halloran, Thomas Groll, 2019-10-08 The 2008 crash was the worst financial crisis and the most severe economic downturn since the Great Depression. It triggered a complete overhaul of the global regulatory environment, ushering in a stream of new rules and laws to combat the perceived weakness of the financial system. While the global economy came back from the brink, the continuing effects of the crisis include increasing economic inequality and political polarization. After the Crash is an innovative analysis of the crisis and its ongoing influence on the global regulatory, financial, and political landscape, with timely discussions of the key issues for our economic future. It brings together a range of experts and practitioners, including Joseph Stiglitz, a Nobel Prize winner; former congressman Barney Frank; former treasury secretary Jacob Lew; Paul Tucker, a former deputy governor of the Bank of England; and Steve Cutler, general counsel of JP Morgan Chase during the financial crisis. Each poses crucial questions: What were the origins of the crisis? How effective were international and domestic regulatory responses? Have we addressed the roots of the crisis through reform and regulation? Are our financial systems and the global economy better able to withstand another crash? After the Crash is vital reading as both a retrospective on the last crisis and an analysis of possible sources of the next one. |
| 3m libor rate history: Exchange Rates and International Financial Economics J. Kallianiotis, 2013-10-02 The recent financial crisis has troubled the US, Europe, and beyond, and is indicative of the integrated world in which we live. Today, transactions take place with the use of foreign currencies, and their values affect the nations' economies and their citizens' welfare. Exchange Rates and International Financial Economics provides readers with the historic, theoretical, and practical knowledge of these relative prices among currencies. While much of the previous work on the topic has been simply descriptive or theoretical, Kallianiotis gives a unique and intimate understanding of international exchange rates and their place in an increasingly globalized world. |
| 3m libor rate history: Congressional Oversight Panel January Oversight Report United States. Congressional Oversight Panel, 2010 |
| 3m libor rate history: Financial Report of the United States Government , |
| 3m libor rate history: The Chicago Plan Revisited Mr.Jaromir Benes, Mr.Michael Kumhof, 2012-08-01 At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy. |
| 3m libor rate history: Fixed-income Portfolio Strategies Frank J. Fabozzi, 1989 |
| 3m libor rate history: Understanding Risk David Murphy, 2008-04-23 Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a |
| 3m libor rate history: The AIG Rescue, Its Impact on Markets, and the Government's Exit Strategy, June Oversight Report *, June 10, 2010, *. , 2010 |
| 3m libor rate history: Cases in Corporate Finance Mayank Joshipura, Sachin Mathur, 2024-04-18 Cases in Corporate Finance includes 60 unique case studies that illustrate the application of finance theories, models, and frameworks to real-life business situations. The topics cover a wide range of sectors and different life cycle stages of firms. The book bridges a crucial gap in topical emerging market case coverage by presenting industry-relevant case studies in the Indian context and on themes pertinent to the current business environment. Through the case studies included in the book, the authors offer insights into the essential areas of corporate finance, including risk and return, working capital management, capital budgeting and structure, dividend decisions, business valuation, and long-term financing. Cases included in the book are decision-focused and provide opportunities to carefully analyse risk-return trade-offs and apply tools to evaluate critical financial decisions. The book will be helpful for students, researchers, and instructors of business management, commerce, and economics. |
| 3m libor rate history: The Industrial Processes of Large Economies Xiaojiang Zhang, 2022-01-20 This book tries to build a broad view on industrial processes of large economies and their integration in the world. It provides insight into the industrialization progresses of the quartet of USA, China, Germany and Japan, all attaining individual industrialization success by distinct trade, fiscal and industrial policy path, the underlying principles of which can be traced back to respective nation's roots in civilization. The combination of their industrial output led to the integrated formation of international industrial distribution. While being highly productive, the current distributed pattern yields benefits that are unevenly dispersed among different regions, industries and societal groups within each participating nation and among engaging economies. To address the uneven benefits distribution at both domestic and international levels, large industrial economies took a plethora of policy actions that will impact industrial ecosystem and portfolio results. The book aims to help readers to build better investment strategies and robust risk management practice under the context of uncertainty and successfully navigate through choppy waters in the years ahead. |
| 3m libor rate history: The Best 117 Law Schools Eric Owens, Princeton Review (Firm), 2004 Our Best 357 Colleges is the best-selling college guide on the market because it is the voice of the students. Now we let graduate students speak for themselves, too, in these brand-new guides for selecting the ideal business, law, medical, or arts and humanities graduate school. It includes detailed profiles; rankings based on student surveys, like those made popular by our Best 357 Colleges guide; as well as student quotes about classes, professors, the social scene, and more. Plus we cover the ins and outs of admissions and financial aid. Each guide also includes an index of all schools with the most pertinent facts, such as contact information. And we've topped it all off with our school-says section where participating schools can talk back by providing their own profiles. It's a whole new way to find the perfect match in a graduate school. |
| 3m libor rate history: New Frontiers of Philanthropy Lester M. Salamon, 2014-06-13 The resources of both governments and traditional philanthropy are either barely growing or in decline, yet the problems of poverty, ill-health, and environmental degradation balloon daily. It is therefore increasingly clear that we urgently need new models for financing and promoting social and environmental objectives. Fortunately, a significant revolution appears to be underway on the frontiers of philanthropy and social investing, tapping not only philanthropy, but also private investment capital, and providing at least a partial response to this dilemma. This book examines the new actors and new tools that form the heart of this revolution, and shows how they are reshaping the way we go about supporting solutions to social and environmental problems throughout the world. With contributions from leading experts in the field, New Frontiers of Philanthropy provides a comprehensive analysis of the many new institutions that have surfaced on this new frontier of philanthropy and social investment; the new tools and instruments these institutions are bringing to bear; the challenges that these actors and tools still encounter; and the steps that are needed to maximize their impact. The result is a powerful and accessible guide to developments that are already bringing significant new resources into efforts to solve the world's problems of poverty, ill-health, and environmental degradation; unleashing new energies and new sources of ingenuity for social and environmental problem-solving; and generating new hope in an otherwise dismal scenario of lagging resources and resolve. Investors, philanthropists, social entrepreneurs, nonprofit leaders, business executives, government officials, and students the world over will find much to build on in these pages. |
| 3m libor rate history: Quantitative Management of Bond Portfolios Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, Bruce Phelps, 2020-05-26 The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language. |
| 3m libor rate history: Fixing the Fixings V. Brousseau, Alexandre Chailloux, A. Durré, 2013-05-29 Interest rate derivatives on major currencies, with notional outstanding amounts adding up to hundreds of trillions, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and other retail loans to the real economy. Yet, the prevailing role of these benchmarks appears to be more a legacy from history rather than reflecting today?s structure of banks? funding. Building on earlier work (Brousseau, Chailloux, Durré, 2009), this paper discusses various options to move towards a new benchmarking system in the money market. It proposes a more ambitious benchmark design that would consist of a trade-weighted index that would systematically pool all short-term wholesale funding operations of banks per tenor. |
| 3m libor rate history: Don't Miss Out Robert Leider, Anna J. Leider, 2001 |
| 3m libor rate history: Derivatives and Internal Models H. Deutsch, 2009-06-24 This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples. |
| 3m libor rate history: Accounting for Derivatives Juan Ramirez, 2015-01-28 The derivative practitioner’s expert guide to IFRS 9 application Accounting for Derivatives explains the likely accounting implications of a proposed transaction on derivatives strategy, in alignment with the IFRS 9 standards. Written by a Big Four advisor, this book shares the author’s insights from working with companies to minimise the earnings volatility impact of hedging with derivatives. This second edition includes new chapters on hedging inflation risk and stock options, with new cases on special hedging situations including hedging components of commodity risk. This new edition also covers the accounting treatment of special derivatives situations, such as raising financing through commodity-linked loans, derivatives on own shares and convertible bonds. Cases are used extensively throughout the book, simulating a specific hedging strategy from its inception to maturity following a common pattern. Coverage includes instruments such as forwards, swaps, cross-currency swaps, and combinations of standard options, plus more complex derivatives like knock-in forwards, KIKO forwards, range accruals, and swaps in arrears. Under IFRS, derivatives that do not qualify for hedge accounting may significantly increase earnings volatility. Compliant application of hedge accounting requires expertise across both the standards and markets, with an appropriate balance between derivatives expertise and accounting knowledge. This book helps bridge the divide, providing comprehensive IFRS coverage from a practical perspective. Become familiar with the most common hedging instruments from an IFRS 9 perspective Examine FX risk and hedging of dividends, earnings, and net assets of foreign subsidies Learn new standards surrounding the hedge of commodities, equity, inflation, and foreign and domestic liabilities Challenge the qualification for hedge accounting as the ultimate objective IFRS 9 is set to replace IAS 39, and many practitioners will need to adjust their accounting policies and hedging strategies to conform to the new standard. Accounting for Derivatives is the only book to cover IFRS 9 specifically for the derivatives practitioner, with expert guidance and practical advice. |
| 3m libor rate history: Derivatives , |
| 3m libor rate history: Congressional Oversight Panel June Oversight Report United States. Congressional Oversight Panel, 2010 |
| 3m libor rate history: International Finance Dora Hancock, 2018-01-03 International Finance offers a clear and accessible introduction to the fundamental principles and practice of international finance in today's world, from the international financial environment and exchange rates, to financing multinational companies and international investment. The theory and techniques are presented with the non-financial manager in mind, and the theoretical material is supplemented by case studies and a discussion of the appropriateness of the various techniques and principles to solve practical problems. This book draws from examples and practice around the world, helping students of international corporate finance, particularly non-specialist finance students, understand the complexities of modern Europe and comparative systems of finance globally. International Finance is essential reading for anyone studying international finance or needing an up-to-date, engaging resource to help them navigate the complicated and ever-changing global financial world. Key theories and terms are explained and defined, avoiding unnecessary jargon and acknowledging that many readers are coming to the subject with little or no prior knowledge of corporate finance at all. Online supporting resources include PowerPoint lecture slides. |
| 3m libor rate history: Special Examination of Freddie Mac United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises, 2004 |
| 3m libor rate history: The Princeton Review , 2005 |
| 3m libor rate history: XVA Andrew Green, 2015-12-14 Thorough, accessible coverage of the key issues in XVA XVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered. |
| 3m libor rate history: The Trader's Guide to Key Economic Indicators Richard Yamarone, 2012-06-26 A handy reference to understanding key economic indicators and acting on them New economic data are reported virtually every trading day. Investors, big and small, have to understand how these reports influence their investments, portfolios, and future sources of income. The third edition of The Trader's Guide to Key Economic Indicators examines the most important economic statistics currently used on Wall Street. In a straightforward and accessible style, it tells you exactly what these reports measure and what they really mean. Filled with in-depth insights and practical advice, this reliable resource sheds some much-needed light on theses numbers and data releases and shows you what to look for and how to react to various economic indicators. Covers everything from gross domestic product and employment to consumer confidence and spending Author Richard Yamarone shares his experience as a former trader, academic, and current Wall Street economist Illustrated with instructive graphs and charts that will put you ahead of market curves Engaging and informative, this book will put you in a better position to make more informed investment decisions, based of some of today's most influential economic indicators. |
| 3m libor rate history: The Global Money Markets Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry, 2003-02-03 An informative look at the world of short-term investing and borrowing The Global Money Markets is the authoritative source on short-term investing and borrowing-from instruments in the U.S. and U.K., to asset-liability management. It also clearly demonstrates the various conventions used for money market calculations and discusses other short-term structured financial products such as asset-backed securities and mortgage-backed securities. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. He has coauthored two previous books and numerous articles in the area of investments and works as a consultant to investment/commercial banks throughout the United States. Moorad Choudhry (Surrey, UK) is a Vice President of structured finance services with JPMorganChase in London. Prior to that he worked as a gilt-edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad is a Senior Fellow at the Centre for Mathematical Trading and Finance, City University Business School. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds. |
| 3m libor rate history: What Should the Federal Government Do to Avoid a Recession? United States. Congress. Joint Economic Committee, 2008 |
| 3m libor rate history: A Financial Bestiary Ramin Charles Nakisa, 2010-09 This is an applied book, using the bare minimum of mathematics to give a good understanding of finance. It is ideal for people just starting out in their financial career or those who have some financial experience who want to broaden and refresh their knowledge. A bestiary was a medieval book containing pictures and descriptions of mythical beasts each with its own moral tale to edify the reader. This is a bestiary of finance, and as such starts with a picture book of jobs and traded instruments in finance. Then the Foundations section sets out the broad picture of who does what and why in financial markets. Finally there are detailed chapters on financial instruments grouped into sections on Fixed Income, Credit, and Forwards, Futures and Options. The book contains many figures and fully worked exercises to clarify the concepts. |
| 3m libor rate history: Complete Book of Law Schools Eric Owens, Princeton Review (Firm), 2003 Nobody knows law schools better than The Princeton Review. EVERYTHING YOU NEED TO KNOW TO MAKE A CRUCIAL DECISION The law school you choose determines how you'll spend the next three years of your life and greatly influences how well you will do in the job market after graduation. The Complete Book of Law Schools gives you the lowdown on all ABA- and CBA-accredited schools in the United States and Canada. It also provides the answers to all the practical questions you should ask about every law school to which you consider applying, such as: -What are the average GPA and LSAT scores of admitted students? -What is the student/faculty ratio? -What is the job placement rate for graduates? -How generous is each law school's financial aid package? Plus the basics, like snail mail and email addresses, telephone numbers, admissions deadlines, tuition, and more. You'll also find tips on what makes a bold personal statement, insight into the mysterious admissions index, pros and cons of the different kinds of law school loans, and an admissions timeline that will keep you ahead of the game and (relatively) stress-free. |
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