The Incomplete Currency. Marcello Minenna

      This interest rate curve has a very important and informative benefit: since it describes the reward of transactions that are very low-risk, the differential with the interbank interest rate curve represents a very clear measure of the perceived credit risk within the interbank system (EURIBOR-IRS/OIS spread). When banks don't trust each other and tend to lend very carefully, this differential widens a lot, while during peaceful periods the distance between the two curves is not significant (see Figure 1.29).