Keywords: Euribor, prime bank, disentangling method, portfolio theory, manipulations, financial crisis, credit default swap spreads, antitrust.
In this paper we analyze the reliability of Euribor after the beginning of the financial
crisis. We purpose three theories about the incentives by banks to manipulate
this benchmark rate to gain illegal profits: trading, portfolio and reputational
theory. According to us, the main problem that afflicts the Euribor mechanism is the
conflict of interest of the panel banks. We also study Euribor technical features and
their conformity to Italian antitrust law. Our empirical analysis highlight an anomalous
behavior of Euribor quotes since 2008. These results are similar to some others
obtained by many academics in reference to Libor and considered theoretically compatibles
with a manipulation strategy.