ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES

Ioan Trenca, Mutu Simona and Nicolae Petria
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Mutu Simona: Babes-Bolyai University Cluj-Napoca, Faculty of Economics Science and Business Administration

Annals of Faculty of Economics, 2012, vol. 1, issue 2, 614-619

Abstract: 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.

Keywords: interest rate risk; Eoniaswap; volatility; impulse response functions (search for similar items in EconPapers)
JEL-codes: E43 E50 G10 G21 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:1:y:2012:i:2:p:614-619

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