6533b821fe1ef96bd127bfe3
RESEARCH PRODUCT
ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES
Mutu SimonaPetria NicolaeTrenca Ioansubject
jel:E50lcsh:Financelcsh:HG1-9999jel:E43lcsh:Businesslcsh:HF5001-6182jel:G10jel:G21interest rate risk Eoniaswap volatility impulse response functionsdescription
The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate swaps prices are strongly dependent on the interbank interest rates. In this paper we want to analyze the behavior of the Eoniaswap indices and their impact on the interest rate swaps between banks.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-12-01 | The Journal of the Faculty of Economics - Economic |