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The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019

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...

Persistent link: https://www.econbiz.de/10012040065

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

Persistent link: https://www.econbiz.de/10011975602

Who bears interest rate risk?

Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018

We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...

Persistent link: https://www.econbiz.de/10011901434

Hedging securities and Silicon Valley Bank idiosyncrasies

Kim, Raymond - In: The journal of futures markets 44 (2024) 4, pp. 653-672

Persistent link: https://www.econbiz.de/10014536665

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …

Persistent link: https://www.econbiz.de/10010257509