12 Month Libor Rate History

12-Month LIBOR Rate History: A Comprehensive Guide

Introduction:

Navigating the world of finance can feel like deciphering a complex code, especially when dealing with interest rates. Understanding the historical trends of key benchmark rates like the London Interbank Offered Rate (LIBOR) is crucial for businesses, investors, and anyone making financial decisions that involve borrowing or lending. This comprehensive guide delves into the 12-month LIBOR rate history, providing a detailed analysis of its fluctuations, the factors influencing its movements, and its implications for the global economy. We'll equip you with the knowledge to better understand past trends and potentially predict future movements, empowering you to make informed financial choices.

Understanding LIBOR and its Significance:

Before diving into the historical data, let's establish a clear understanding of LIBOR itself. LIBOR, or the London Interbank Offered Rate, was a benchmark interest rate at which major global banks lent to each other in the London wholesale money market. It served as a cornerstone for a vast array of financial instruments, including mortgages, loans, and derivatives. While officially discontinued at the end of 2021, its historical data remains immensely valuable for understanding past market conditions and informing future predictions. The 12-month LIBOR rate, in particular, provides insights into longer-term borrowing costs and economic outlooks.

12-Month LIBOR Rate History: A Decade-by-Decade Analysis (2012-2021):

Analyzing the 12-month LIBOR rate requires a nuanced approach, considering the various economic events and market shifts that influenced its trajectory. We'll dissect the rate's behavior over the past decade (2012-2021), focusing on key periods of volatility and stability:

2012-2015: The Post-Recession Recovery: Following the 2008 financial crisis, the 12-month LIBOR rate remained relatively low, reflecting accommodative monetary policies adopted by central banks globally to stimulate economic growth. This period saw a gradual, albeit slow, increase in the rate as economies began to recover.

2016-2018: Gradual Rate Hikes: As global economies strengthened, central banks, particularly the Federal Reserve in the US, began a cycle of gradual interest rate hikes. This upward trend was reflected in the 12-month LIBOR rate, showcasing a positive correlation between central bank policy and interbank lending rates.

2019-2020: The COVID-19 Pandemic and its Impact: The onset of the COVID-19 pandemic in early 2020 triggered unprecedented market volatility. The 12-month LIBOR rate plummeted to near-zero levels as central banks implemented emergency measures to inject liquidity into the financial system and prevent a credit crunch. This period starkly illustrates the responsiveness of LIBOR to major global events.

2021: The Transition to SOFR: 2021 marked the official cessation of LIBOR. The Secured Overnight Financing Rate (SOFR) replaced LIBOR as the primary benchmark interest rate, reflecting a move towards a more robust and transparent interest rate benchmark. The final 12-month LIBOR rate data from 2021 provides a crucial benchmark for comparing historical trends with the emerging SOFR data.

Factors Influencing 12-Month LIBOR Rate:

Several key factors contribute to the fluctuations in the 12-month LIBOR rate:

Central Bank Monetary Policy: Central bank decisions regarding interest rates, money supply, and reserve requirements significantly impact interbank lending rates.
Global Economic Growth: Strong economic growth tends to push LIBOR higher, reflecting increased demand for credit. Conversely, economic slowdowns or recessions often lead to lower rates.
Inflation: High inflation rates usually lead to higher interest rates as lenders seek to protect their purchasing power.
Credit Risk: Perceived risk within the banking system also influences LIBOR. Higher perceived risk translates to higher borrowing costs among banks.
Market Sentiment: Overall investor confidence and market sentiment can significantly impact LIBOR, with uncertainty leading to higher rates.


Interpreting 12-Month LIBOR Rate Data:

Understanding the historical context of the 12-month LIBOR rate is crucial for informed decision-making. By analyzing the rate's fluctuations in relation to broader economic trends, investors can gain valuable insights into market dynamics and anticipate potential future movements. This data can be used to benchmark borrowing costs, assess investment risk, and make informed predictions about future economic conditions.

Conclusion:

The 12-month LIBOR rate history offers a valuable lens through which to examine past economic events and market behaviors. Although LIBOR is no longer published, its historical data remains an essential tool for understanding the complexities of the global financial system. By carefully analyzing past trends and considering the factors that influence LIBOR, individuals and businesses can improve their understanding of interest rate dynamics and make more informed financial decisions. The transition to SOFR represents a significant shift, requiring a continued focus on understanding this new benchmark and its implications for the future.


Article Outline:

Name: Understanding the Historical Trends of the 12-Month LIBOR Rate

Introduction: Briefly define LIBOR and its significance.
Chapter 1: A Decade of LIBOR (2012-2021): Detailed analysis of LIBOR's movement decade by decade, highlighting key events and trends.
Chapter 2: Key Influencers on LIBOR Rates: Exploration of factors affecting LIBOR, including monetary policy, economic growth, inflation, and credit risk.
Chapter 3: Interpreting Historical Data and Implications for the Future: Guidance on utilizing historical LIBOR data for future financial decision-making.
Conclusion: Summary of key takeaways and the importance of understanding LIBOR's legacy in the context of SOFR.


(The full article content above fulfills the outline provided.)


FAQs:

1. What is LIBOR, and why is its history important? LIBOR was a benchmark interest rate; its history reflects broader economic trends.
2. When was LIBOR discontinued, and what replaced it? LIBOR was discontinued at the end of 2021 and replaced by SOFR.
3. How did the 2008 financial crisis affect the 12-month LIBOR rate? It led to initially low rates due to central bank interventions.
4. What is the relationship between central bank policy and the 12-month LIBOR rate? Central bank actions directly influence the rate.
5. How does inflation impact the 12-month LIBOR rate? High inflation generally leads to higher LIBOR rates.
6. What is the significance of the 12-month LIBOR rate compared to shorter-term rates? It reflects longer-term borrowing costs and economic outlook.
7. How can I access historical 12-month LIBOR rate data? Various financial data providers offer this information.
8. What is SOFR, and how does it differ from LIBOR? SOFR is a more robust, transparent benchmark rate replacing LIBOR.
9. How can understanding LIBOR's history help with future financial planning? It provides context for assessing risk and predicting future interest rate movements.


Related Articles:

1. The Secured Overnight Financing Rate (SOFR): A Comprehensive Guide: Explains the replacement for LIBOR.
2. Understanding Interest Rate Risk Management: Discusses managing risk related to interest rate fluctuations.
3. The Impact of Monetary Policy on Global Economies: Analyzes central bank influence on economic growth.
4. Inflation and Its Effects on Investment Strategies: Explores inflation's influence on financial decisions.
5. A Beginner's Guide to Financial Markets: Introduces basic financial market concepts.
6. Risk Assessment in Financial Investments: Covers various methods for assessing financial risk.
7. Predicting Interest Rate Movements: Techniques and Challenges: Explores forecasting interest rate changes.
8. The Role of Central Banks in Economic Stability: Explores the functions of central banks.
9. Analyzing Economic Indicators for Informed Investment Decisions: Teaches how to use economic data for investment strategies.


  12 month libor rate history: International Finance Dora Hancock, 2018-01-03 International Finance offers a clear and accessible introduction to the fundamental principles and practice of international finance in today's world, from the international financial environment and exchange rates, to financing multinational companies and international investment. The theory and techniques are presented with the non-financial manager in mind, and the theoretical material is supplemented by case studies and a discussion of the appropriateness of the various techniques and principles to solve practical problems. This book draws from examples and practice around the world, helping students of international corporate finance, particularly non-specialist finance students, understand the complexities of modern Europe and comparative systems of finance globally. International Finance is essential reading for anyone studying international finance or needing an up-to-date, engaging resource to help them navigate the complicated and ever-changing global financial world. Key theories and terms are explained and defined, avoiding unnecessary jargon and acknowledging that many readers are coming to the subject with little or no prior knowledge of corporate finance at all. Online supporting resources include PowerPoint lecture slides.
  12 month libor rate history: Handbook of Finance, Financial Markets and Instruments Frank J. Fabozzi, 2008-11-03 Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. It also addresses the role of financial markets in an economy, the structure and organization of financial markets, the efficiency of markets, and the determinants of asset pricing and interest rates. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume II: Investment Management and Financial Management and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.
  12 month libor rate history: International Convergence of Capital Measurement and Capital Standards , 2004
  12 month libor rate history: Unlocking Financial Data Justin Pauley, 2017-10-06 Investors recognize that technology is a powerful tool for obtaining and interpreting financial data that could give them the one thing everyone on Wall Street wants: an edge. Yet, many don’t realize that you don’t need to be a programmer to access behind-the-scenes financial information from Bloomberg, IHS Markit, or other systems found at most banks and investment firms. This practical guide teaches analysts a useful subset of Excel skills that will enable them to access and interpret financial information—without any prior programming experience. This book will show analysts, step-by-step, how to quickly produce professional reports that combine their views with Bloomberg or Markit data including historical financials, comparative analysis, and relative value. For portfolio managers, this book demonstrates how to create professional summary reports that contain a high-level view of a portfolio’s performance, growth, risk-adjusted return, and composition. If you are a programmer, this book also contains a parallel path that covers the same topics using C#. Topics include: Access additional data that isn’t visible on Bloomberg screens Create tables containing corporate data that makes it possible to compare multiple companies, bonds, or loans side-by- side Build one-page analytic (“Tear Sheet”) reports for individual companies that incorporates important financials, custom notes, relative value comparison of the company to its peers, and price trends with research analyst targets Build two-page portfolio summary report that contains a high-level view of the portfolio’s performance, growth, risk-adjusted return, and composition Explore daily prices and facility information for most of the tradable corporate bond and loan market Determine the relationship between two securities (or index) using correlation and regression Compare each security’s performance to a cohort made of up of securities with similar risk and return characteristics Measure portfolio risk-adjusted return by calculating variance, standard deviation, and Sharpe ratio Use Markit data to identify meaningful trends in prices, new issue spreads, and refinancings
  12 month libor rate history: The Wheatley Review of LIBOR Great Britain. Treasury, Martin Wheatley, Financial Services Authority (Great Britain), 2012
  12 month libor rate history: A Financial History of the United States Jerry W Markham, 2015-03-17 This new reference by the author of the critically acclaimed A Financial History of the United States covers the aftermath of the Enron-era scandals and the extraordinary financial developments during the period
  12 month libor rate history: Investment Risk and Uncertainty Steven P. Greiner, 2013-03-14 Valuable insights on the major methods used in today's asset and risk management arena Risk management has moved to the forefront of asset management since the credit crisis. However, most coverage of this subject is overly complicated, misunderstood, and extremely hard to apply. That's why Steven Greiner—a financial professional with over twenty years of quantitative and modeling experience—has written Investment Risk and Uncertainty. With this book, he skillfully reduces the complexity of risk management methodologies applied across many asset classes through practical examples of when to use what. Along the way, Greiner explores how particular methods can lower risk and mitigate losses. He also discusses how to stress test your portfolio and remove the exposure to regular risks and those from Black Swan events. More than just an explanation of specific risk issues, this reliable resource provides practical off-the-shelf applications that will allow the intelligent investor to understand their risks, their sources, and how to hedge those risks. Covers modern methods applied in risk management for many different asset classes Details the risk measurements of truly multi-asset class portfolios, while bridging the gap for managers in various disciplines—from equity and fixed income investors to currency and commodity investors Examines risk management algorithms for multi-asset class managers as well as risk managers, addressing new compliance issues and how to meet them The theory of risk management is hardly ever spelled out in practical applications that portfolio managers, pension fund advisors, and consultants can make use of. This book fills that void and will put you in a better position to confidently face the investment risks and uncertainties found in today's dynamic markets.
  12 month libor rate history: Barometer of Fear Alexis Stenfors, 2017-05-15 The LIBOR affair has been described as the ‘biggest banking scandal in history’, a deception affecting not only banks but also corporations, pension funds and ordinary people. But was this just the tip of the iceberg? Was the scandal the work of a few ‘bad apples’ or an inevitable result of a financial system rotten to its core? Labelled ‘one of the world's most infamous rogue traders’ in the wake of a mis-marking scandal, Alexis Stenfors went on to rebuild his life and now guides us through the shadowy world of modern banking, providing an insider’s account of the secret practices – including the manipulation of foreign exchange rates – which have allowed banks to profit from systematic deception. Containing remarkable and often shocking insights derived from his own experiences in the dealing room, as well as his spectacular fall from grace at Merrill Lynch, Barometer of Fear draws back the curtain to a realm that for too long has remained hidden from public view.
  12 month libor rate history: Journal of Bank Research , 1985
  12 month libor rate history: The Student's Guide to Financial Literacy Robert E. Lawless, 2010-03-11 Presenting a broad array of financial knowledge, this interesting, easily understandable book will aid students and young adults in achieving their desired levels of wealth, success, and overall financial and personal fulfillment. The recent global financial crisis was caused, at least in part, by the financial ignorance of many consumers. Many students and young adults in particular have never been taught the basics of financial planning. Yet, the earlier people move from financial illiteracy to literacy, the greater the benefits that will accumulate over time. As The Student's Guide to Financial Literacy makes clear, practices adopted in the early years of adulthood can have the most dramatic effect on a person's ultimate quality of life, level of success, and age of retirement. This book is designed to convey financial wisdom in terms that are easy to understand with suggestions that are easy to apply. Readers will learn about the importance of budgeting and saving, the compounding of money, and how to create a diversified portfolio of investments. Included is advice on buying a first home, the characteristics of good debt versus bad debt, insurance and tax planning, even choosing the right career.
  12 month libor rate history: Intermediate Structured Finance Modeling William Preinitz, Matthew Niedermaier, 2010-12-28 This book provides a pragmatic, hands-on approach to reaching an intermediate level of sophistication as a financial modeler. Expanding on the first book, A Fast Tract to Structured Finance Modeling, Monitoring, and Valuation, the book will guide you step-by-step through using learned principals in new and more powerful applications. These applications will build on the knowledge of Excel and VBA gained, expand the use of Access for data management tasks, as well as PowerPoint and Outlook for reporting and presentation tasks.
  12 month libor rate history: History of the Eighties: An examination of the banking crises of the 1980s and early 1990s , 1997 A study by the FDIC staff to examine and analyse the banking crisis of the 1980s and 1990s.
  12 month libor rate history: The Credit Risk of Complex Derivatives E. Banks, 2016-01-12 Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives has gone through a period of dramatic change - in the external operating environment, product and market characteristic and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts * Regulatory initiatives and advances * Credit risk portfolio models Aimed at clients, intermediaries and regulators, this edition will be focused clearly on risk education, risk management and risk disclosure in order to make participation in derivatives more secure, transparent, efficient and beneficial.
  12 month libor rate history: Standard & Poor's Stock Reports , 2009-03
  12 month libor rate history: The Credit Cleanup Book Shindy Chen, 2014-10-14 By unlocking the mortgage industry's trade secrets, this indispensable book will help readers understand credit scoring and learn how to obtain—and improve—their credit reports. Many consumers don't understand the basics of credit reporting and scoring or how this information is used by lenders and service providers today. This book was written to remedy that. A no-nonsense guide, it teaches readers about credit reports and scores, shows them how to obtain and read their credit reports, and outlines ways to remove negative and inaccurate items. Readers will also learn about the latest consumer protection legislation concerning credit and lending and about changes in lending practices that can impact their financial well-being. The book details credit's impact on nearly every aspect of life, including employment; insurance; love relationships; services such as mobile phones and utilities; apartment leases; and auto, business, and home mortgage loans. It walks readers through the process of disputing negative items on credit reports and includes letter templates that can be used for that purpose. Finally, it provides readers with credit- and debt-management tips and describes state-of-the-art tools that can be used to foster better money- and credit-management habits. With this book in hand, a consumer should be able to achieve the higher credit score that is a person's greatest financial asset.
  12 month libor rate history: Bank Asset and Liability Management Moorad Choudhry, 2011-12-27 Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
  12 month libor rate history: 2018 CFR Annual Print Title 12, Banks and Banking, Parts 1026-1099 Office of The Federal Register, 2018-01-01
  12 month libor rate history: Saving Your American Dream Jason Biro, Carolyn Rodi, 2009-09-08 Are you worried about your mortgage, or facing foreclosure? Starting over after losing your home? Buying a home or looking to refinance, and just don't know where to start? In Saving Your American Dream, industry veteran Jason Biro shows you step-by-step how to make it through these tough economic times—without sacrificing the American dream of homeownership. Find out: What happened during the housing and lending crash, and what it means for you How to prevent foreclosure (even if it's already in progress), and how to recover financially if you can't How lending works, what lending and mortgage terms really mean—and what you can do right now to increase your chances of qualifying for an affordable loan How you can protect yourself from predatory lending and real estate scams How to improve and manage your credit, your finances, and your future With this book, you could also get the help you need to save your American dream. How? Use the unique code that's included with this book to tell Jason your story. You could receive one-on-one counseling, assistance, and advice to help protect your home from foreclosure, to improve your credit and finances, or to plan for owning a home of your own once again.
  12 month libor rate history: History of the Eighties--lessons for the Future , 1997
  12 month libor rate history: Title 12 Banks and Banking Parts 1026 to 1099 (Revised as of January 1, 2014) Office of The Federal Register, Enhanced by IntraWEB, LLC, 2014-01-01 The Code of Federal Regulations Title 12 contains the codified Federal laws and regulations that are in effect as of the date of the publication pertaining to banks, banking, credit unions, farm credit, mortgages, consumer financial protection and other related financial matters.
  12 month libor rate history: Bank Investing Suhail Chandy, Weison Ding, 2021-02-23 Bank Investing: A Practitioner's Field Guide offers you the essential toolkit to become a successful bank investor. It packages practical lessons, theoretical knowledge, and historical context, all into one compelling and hopefully entertaining book. The book includes conversations with investors and management teams. Investors include activists, financials specialists, credit investors, and multibillion-dollar asset managers. Management teams have a broad representation from the c-suite of a broad spectrum of participants ranging from a fintech to a bank with over $30bn in assets. Banks are the oil that lubricates the economy. An understanding of how they operate is essential for analyzing any part of the economy since banks represent a large investing universe and control a sizeable portion of assets. With over 800 public tickers representing over $3 trillion market cap, banks are larger than several other industry groups. Banks are the largest financial intermediaries in the U.S., controlling $15 trillion in financial assets. Their relative size can amplify effects. For example, a small regulatory or environmental change can cascade and ripple through financial markets and have a major impact on the economy. As fintechs gain in prominence, a fundamental grasp of topics related to banking will help enhance understanding of fintech. Bank investing can be a fruitful pursuit: The most successful investor of our times, Warren Buffett, has had a sizeable investment in banks over time (close to a third of his portfolio weight used to be in banks). Banks allow you to make macro-economic bets since they are highly levered to business cycles. Bank investing allows you to scale your knowledge, as they have relatively homogenized business models... ...at the same time, banks are diverse enough to drive meaningful dispersion in price performance. This divergence of performance can be taken advantage of by an astute and prepared securities analyst. Banks are good vehicles to make specific investment plays on geographic regions, demographic trends (suburban to urban migration, aging), industries (agriculture, tech, energy), news flow (trade/tariffs, weather), real estate subsectors (NYC office, bay area apartments), and investing themes such as ESG, cryptocurrency, and venture capital. Finally, fintech disruption is creating an investing opportunity to play the digital divide between banks that embrace technology successfully and those that get left behind.
  12 month libor rate history: 2018 CFR e-Book Title 12, Banks and Banking, Parts 1026-1099 Office of The Federal Register, 2018-01-01 Title 12, Banks and Banking, Parts 1026-1099
  12 month libor rate history: 2018 CFR Annual Print Title 12, Banks and Banking, Parts 220-229 Office of The Federal Register, 2018-01-01
  12 month libor rate history: 2018 CFR e-Book Title 12, Banks and Banking, Parts 220-229 Office of The Federal Register, 2018-01-01 Title 12, Banks and Banking, Parts 220-229
  12 month libor rate history: Interest Rate Swaps and Other Derivatives Howard Corb, 2012-08-28 The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.
  12 month libor rate history: After the Crash Sharyn O'Halloran, Thomas Groll, 2019-10-08 The 2008 crash was the worst financial crisis and the most severe economic downturn since the Great Depression. It triggered a complete overhaul of the global regulatory environment, ushering in a stream of new rules and laws to combat the perceived weakness of the financial system. While the global economy came back from the brink, the continuing effects of the crisis include increasing economic inequality and political polarization. After the Crash is an innovative analysis of the crisis and its ongoing influence on the global regulatory, financial, and political landscape, with timely discussions of the key issues for our economic future. It brings together a range of experts and practitioners, including Joseph Stiglitz, a Nobel Prize winner; former congressman Barney Frank; former treasury secretary Jacob Lew; Paul Tucker, a former deputy governor of the Bank of England; and Steve Cutler, general counsel of JP Morgan Chase during the financial crisis. Each poses crucial questions: What were the origins of the crisis? How effective were international and domestic regulatory responses? Have we addressed the roots of the crisis through reform and regulation? Are our financial systems and the global economy better able to withstand another crash? After the Crash is vital reading as both a retrospective on the last crisis and an analysis of possible sources of the next one.
  12 month libor rate history: The Financial Courts Jo Braithwaite, 2021-01-07 Explains the legal implications of internationalisation, standardisation and diversification in modern derivatives markets, demonstrating the key role of national courts.
  12 month libor rate history: Code of Federal Regulations, Title 12, Banks and Banking, PT. 900-1099, Revised as of January 1, 2012 , 2012-04-30
  12 month libor rate history: Code of Federal Regulations, Title 12, Banks and Banking, PT. 220-299, Revised as of January 1, 2010 Office of the Federal Register (U S ), 2010-04 The Code of Federal Regulations is a codification of the general and permanent rules published in the Federal Register by the Executive departments and agencies of the United States Federal Government.
  12 month libor rate history: Code of Federal Regulations, Title 12, Banks and Banking, Pt. 220-299, Revised as of January 1, 2011 , 2011-04-25
  12 month libor rate history: Quantitative Management of Bond Portfolios Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, Bruce Phelps, 2020-05-26 The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.
  12 month libor rate history: Managing And Measuring Of Risk: Emerging Global Standards And Regulations After The Financial Crisis Oliviero Roggi, Edward I Altman, 2013-02-20 This edited volume presents the most recent achievements in risk measurement and management, as well as regulation of the financial industry, with contributions from prominent scholars and practitioners such as Robert Engle, 2003 Nobel Laureate in Economics, Viral Acharya, Torben Andersen, Zvi Bodie, Menachem Brenner, Aswath Damodaran, Marti Subrahmanyam, William Ziemba and others. The book provides a comprehensive overview of recent emerging standards in risk management from an interdisciplinary perspective. Individual chapters expound on the theme of standards setting in this era of financial crises where new and unseen global risks have emerged. They are organized in a such a way that allows the reader a broad perspective of the new emerging standards in macro, systemic and sovereign risk before zooming into the micro perspective of how risk is conceived and treated within a corporation. A section is dedicated to credit risk and to the increased importance of liquidity both in financial systems and at the firm's level.
  12 month libor rate history: The Global Money Markets Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry, 2003-02-03 An informative look at the world of short-term investing and borrowing The Global Money Markets is the authoritative source on short-term investing and borrowing-from instruments in the U.S. and U.K., to asset-liability management. It also clearly demonstrates the various conventions used for money market calculations and discusses other short-term structured financial products such as asset-backed securities and mortgage-backed securities. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. He has coauthored two previous books and numerous articles in the area of investments and works as a consultant to investment/commercial banks throughout the United States. Moorad Choudhry (Surrey, UK) is a Vice President of structured finance services with JPMorganChase in London. Prior to that he worked as a gilt-edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad is a Senior Fellow at the Centre for Mathematical Trading and Finance, City University Business School. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
  12 month libor rate history: Global Financial Contagion Shalendra D. Sharma, 2014 This book is an authoritative account of the economic and political roots of the 2008 financial crisis. It examines why it was triggered in the United States, why it morphed into the Great Recession, and why the contagion spread with such ferocity around the globe. It also examines how and why economies - including the Eurozone, Russia, China, India, East Asia, and the Middle East - have been impacted and explores their response to the unprecedented challenges of the crisis and the effectiveness of their policy measures. Global Financial Contagion specifically looks at how the Obama administration's policy missteps have contributed to America's huge debt and slow recovery, why the Eurozone's response to its existential crisis has become a never-ending saga, and why the G-20's efforts to create a new international financial architecture may fall short. This book will long be regarded as the standard account of the crisis and its aftermath.
  12 month libor rate history: International Banking in the New Era Suk-Joong Kim, Michael D. McKenzie, 2010-11-10 This volume examines issues concerning the challenges and opportunities for international banks in the rapidly changing global environment. It looks at financial markets and banking, examines the role of banks and lawyers in the global financial crisis, explores post-crisis financial regulation, and highlights determinants of international banking.
  12 month libor rate history: General Awareness Banking Notes : A Complete General Awareness Preparation Book for All Banking Related Exams | SBI, IBPS , RRB | Topic-wise EduGorilla Prep Experts, 2022-09-15 • Best Selling Book For General Awareness For All Bank Related Exams as per the latest syllabus. • Increase your chances of selection by 16X. • The Banking Notes Book For General Awareness contains a well-structured & up-to-date syllabus that is essential for exam success. • Score high on exams using content that is thoroughly researched by experts.
  12 month libor rate history: Placement Study Notes: General Science & General Awareness for Recruitment Success ,
  12 month libor rate history: History of the Eighties , 1997
  12 month libor rate history: Budget of the United States Government United States. Office of Management and Budget, 2009
  12 month libor rate history: Financial Stability Review , 2008