Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

This paper presents a simple approach to dynamically embed the risk of rising interest rates in any investment portfolio that includes fixed income securities. It illustrates the approach using a singular perturbation of U.S. treasury rates that can be used either to stress-test investment...