基于时间序列聚类的利率操纵检测
Interest Rate Manipulation Detection using Time Series Clustering Approach
摘要：
银行间同业拆借利率是与金融合同挂钩的每个国家金融市场中至关重要的基准利率。本文针对最近发生的伦敦银行同业拆借利率操纵事件，试图消除人们对银行同业拆借利率完全由银行控制的担忧。本文将着重于LIBOR和SIBOR之间的比较，特别是关于利率随时间的行为。由于IBOR的性质，银行自然会提交类似的利率，这些利率不应与市场和其他银行有太大的差异。我们将比较LIBOR和SIBOR从2005年到2011年的1个月利率。我们将呈现的结果是，SIBOR不像LIBOR那样被操纵。
英文摘要：
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that Interbank Offered Rate are entirely controlled by the bank. The paper will focus on the comparison between LIBOR and SIBOR especially with regards to the behavior of the interest rate with time. Because of the nature of IBORs, banks will naturally be submitting similar rates which should not differ excessively from the market as well as the other banks. We will compare the LIBOR and SIBOR from 2005 to 2011 with respect to the 1 month rates on an annual basis. We will present the result that the SIBOR is not manipulated like LIBOR.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
