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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010222120

Macro-Derivatives Nexus : New Drivers of Cross-Currency Basis Swap Spreads

Ibhagui, Oyakhilome - 2019

Over the last decade, the derivatives market has witnessed a collapse of covered interest parity (CIP) which has unlocked a stream of arbitrage opportunities across currencies for investment managers. In this paper, we introduce two new factors --- inflation differential and relative economic...

Persistent link: https://www.econbiz.de/10012868369

Analysing cross-currency basis spreads

Baran, Jaroslav; Witzany, Jiří - In: Ekonomický časopis : časopis pre ekonomickú … 66 (2018) 10, pp. 1002-1030

Persistent link: https://www.econbiz.de/10012152949

A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch

Fanelli, Viviana - 2016

quantities that had remained the same until then. In particular, we consider the spread that opened up between the Libor rate and … the OIS rate, and the consequent empirical evidence that FRA rates can no longer be replicated using Libor spot rates due … Basis Swaps in a multi-curve setup. The Libor rate is considered here as a risky rate, subject to the credit risk of a …

Persistent link: https://www.econbiz.de/10013003391