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Modelos de taxa de juro após a crise de crédito e liquidez

Mestrado em Finanças ; The explosion of the basis spread observed during the credit and liquidity crisis (August 2007) lead the markets to a situation where multiple yield curves are required to estimate the different dynamics of the distinct forward rates. This paper presents an empirical analysis of the markets and models evolution across the credit crunch crisis. First, the Libor Market Model (LMM) is prese...