Posted December 5, 2013. Available at SSRN: https://ssrn.com/abstract=2363895. Last accessed May 15, 2017.
ISSN/ISBN: Not available at this time. DOI: 10.2139/ssrn.2363895
Abstract: The London inter-bank offered rate (LIBOR) serves as a benchmark for many financial transactions worldwide today. These rates have been subject to manipulative conduct, false reporting and collusion. In forensic accounting, the Benford test has been implemented to successfully detect manipulated data. In this paper, we develop an approach to enable the application of the Benford method to LIBOR and other financial market benchmarks. The test results for all 150 LIBOR rates show a concentration of notably high deviations from the Benford distribution in single periods and currencies. Moreover, we find that the LIBOR quotes deviate much more than the banks’ credit default swap spreads. We conclude that all banks are presumably involved in the submission of manipulated data. Furthermore, we show that other financial benchmarks are worthy of closer scrutiny.
Bibtex:
@article {,
AUTHOR = {Rauch, Bernhard and G{\"o}ttsche, Max and El Mouaaouy, Florian},
TITLE = {LIBOR Manipulation – Empirical Analysis of Financial Market Benchmarks Using Benford's Law},
YEAR = {2013},
INSTITUTION = {SSRN},
DOI = {10.2139/ssrn.2363895},
URL = {https://ssrn.com/abstract=2363895},
}
Reference Type: E-Print
Subject Area(s): Economics