Abstract

http://ssrn.com/abstract=2342075
 


 



Libor Manipulation: Cui Bono?


Priyank Gandhi


Mendoza College of Business, University of Notre Dame

Benjamin Golez


University of Notre Dame

Jens Carsten Jackwerth


University of Konstanz - Department of Economics

Alberto Plazzi


University of Lugano - Institute of Finance; Swiss Finance Institute

October 17, 2013


Abstract:     
Regulatory sanctions and lawsuits related to Libor manipulation represent major operational risks facing large international banks. We find a significant relation between a bank’s measure of Libor exposure and its average monthly submission, from which Libor is subsequently computed, during 1999 to 2012. The relation is stronger during the January 2005 to May 2009 manipulation period (as per Barclays settlement), for currencies and maturities with substantial notional amounts of interest rate derivatives outstanding, and for banks that have settled Libor related lawsuits. We estimate that such manipulation could have increased the market value of the panel banks by $22.76 billion.

Number of Pages in PDF File: 53

Keywords: Libor, scandal, manipulation, factor models, operational risk

JEL Classification: G11, G12, G13

working papers series


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Date posted: October 18, 2013  

Suggested Citation

Gandhi, Priyank and Golez, Benjamin and Jackwerth, Jens Carsten and Plazzi, Alberto, Libor Manipulation: Cui Bono? (October 17, 2013). Available at SSRN: http://ssrn.com/abstract=2342075 or http://dx.doi.org/10.2139/ssrn.2342075

Contact Information

Priyank Gandhi
Mendoza College of Business, University of Notre Dame ( email )
253 Mendoza College of Business
Notre Dame, IN 46656
United States
5746313450 (Phone)
Benjamin Golez
University of Notre Dame ( email )
256 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
(574) 631-1458 (Phone)
HOME PAGE: http://business.nd.edu/BenGolez/
Jens Carsten Jackwerth (Contact Author)
University of Konstanz - Department of Economics ( email )
Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)
HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/
Alberto Plazzi
University of Lugano - Institute of Finance ( email )
Via Buffi 13
CH-6900 Lugano
Switzerland
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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