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BEGIN:VEVENT
SUMMARY:Modeling Money Market Spreads:  What Do We Learn about Refinancing
  Risk
DTSTART:20150130T103000
DTEND:20150130T120000
DTSTAMP:20260930T193526Z
UID:9ab2435283d9450860e7c3c191d15dbcd76899ab5eef63ec61fa1086
CATEGORIES:Conferences - Seminars
DESCRIPTION:Kleopatra NIKOLAOU (Board of Governors of the Federal Reserve 
 System)\nWe show that spreads in euro area money markets during the financ
 ial crisis were driven by refinancing risk: With the advent of the crisis\
 , borrowers were willing to pay a premium to obtain financing for a given 
 period rather than having to refinance several times. We measure refinanci
 ng risk within a proposed model to price EURIBOR-based money market spread
 s vis-à-vis the overnight index swap. We show that\, unless markets freez
 e\, refinancing risk affects the spread significantly across time. Central
  bank interventions have reduced the spreads as well as the effect of refi
 nancing risk on them.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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