Foreign Exchange Swaps and Cross-Currency Swaps

Angelo Ranaldo

No 22-51, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in terms of currencies, parties, maturities, and size. The second part is devoted to the institutional framework of the FX swap market, specifically its over-the-counter (OTC) nature, recent technological trends, and policy actions such as the regulatory reform and process to oust the Libor rate. We conclude this chapter by pointing to future research directions to better understand the pricing and market functioning of FX swaps.

Pages: 31 pages
Date: 2022-06
New Economics Papers: this item is included in nep-dem
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Citations: View citations in EconPapers (2)

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Chapter: Foreign exchange swaps and cross-currency swaps (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2251

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