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

• 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
• Institution: Singapore Management University

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...