Thursday, April 17, 2008

Is LIBOR accurate? – An interesting and significant question. GB will do everything humanly possible to influence their findings and not let LIBOR increase.

Libor credibility questioned as credit crunch deepens

The British Bankers' Association has brought forward a review into how it sets the pivotal London Interbank Offered Rate amid mounting concerns over the credibility of the measurement. The association yesterday revealed it was re-assessing how it calculates Libor - a benchmark measurement that filters through the economy, affecting mortgage and other interest rates across the lending system.

Posted by tyrellcorporation @ 08:37 AM (1036 views)
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2 thoughts on “Is LIBOR accurate? – An interesting and significant question. GB will do everything humanly possible to influence their findings and not let LIBOR increase.

  • They take quotes from >=8 contributors throw away the top and bottom quartile and take the average of the rest.

    I could understand the need for change if the contributors quotes were spread wildly, but, looking at the historic series, they were not and are not (I also noticed less volatility now than before); or if the quotes were not really quotes (i.e. the numbers given by the contributors were not actually tradable quotes)
    – in either of these cases they should be weighting the quotes by some measure of open interest and perhaps reporting a liquidity measure as well as a rate.

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  • sold 2 rent 1 says:

    Great post tyrell,

    What’s the betting that the annual review will find “no problems”?
    The corruption-o-meter is about to fly off the scale.

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