开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

和棋 · 2021年05月02日

为什么libor包含了credit risk premium呢?

NO.PZ2021030502000020

问题如下:

Which of the following is not LIBOR's advantages ?

选项:

A.LIBOR has been used since the mid-1980s, everyone is comfortable with it B.There are 10 maturities out to 12 months for dollar LIBOR, compared to one for overnight SOFR. C.LIBOR incorporates a bank credit risk premium, and LIBOR-linked assets naturally incorporate some hedge for bank funding risk. D.LIBOR has a deep, liquid market.

解释:

D is correct

LIBOR相对SOFR来说缺乏流动性很好的市场。所以D选项的描述是错误的。

为什么libor包含了credit risk premium呢?

1 个答案

袁园_品职助教 · 2021年05月03日

因为Libor是无抵押的拆解利率,所以相当于包含了一个credit risk premium