Detection of Manipulation of Inter-Bank Overnight Rate using Euclidean Based Time Series Cluster Analysis

Detection of Manipulation of Inter-Bank Overnight Rate using Euclidean Based Time Series Cluster Analysis

The interbank offered rate (IBOR) is the interest rate at which banks can borrow funds from other banks in the interbank market. It is also used as the benchmark upon which rates or financial contracts for less preferred borrowers are based. In the light of the recent London IBOR (LIBOR) manipulatio...

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Bibliographic Details
Main Authors: CHOY, Murphy Junyu, CHNG, Enoch
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
London interbank offered rate
LIBOR
Singapore interbank offered rate
SIBOR
time series
cluster analysis
Euclidean distance.
Computer Sciences
Finance and Financial Management
Numerical Analysis and Scientific Computing
Online Access:https://ink.library.smu.edu.sg/sis_research/2177
http://dx.doi.org/10.1504/IJPMB.2014.060408
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/sis_research/2177
http://dx.doi.org/10.1504/IJPMB.2014.060408

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