Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach

. In the current LIBOR transition to overnight–rate benchmarks, it is important to understand theoretically and empirically what distinguishes actual term rates from overnight benchmarks or “synthetic” term rates based on such benchmarks. The well–known “multi–curve” phenomenon of tenor basis spreads between term structures associated with different payment frequencies provides key information on this distinction. This information can be extracted using a modelling framework based on the concept of “roll–over risk”, i