Interest Rate Swaps - Modelling and Usage in the Context of Basel III and EMIR

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Authors	SVOBODA Martin REUSE Svend
Year of publication	2012
Type	Article in Proceedings
Conference	Managing and Modelling of Financial Risks 6th International Scientific Conference
MU Faculty or unit	Faculty of Economics and Administration
Citation
Field	Economy
Keywords	Basel III; European Market Infrastructure Regulation; Central Clearing Party; Over the Counter; Credit Value Adjustment
Description	Interest Rate Swaps are a typical product to hedge interest rate risks. Especially banks use this kind of derivative instrument to manage their interest rate risk. Up to now, these swaps normally have the character of an OTC derivative. Basel III and EMIR make it more difficult for banks to make such OTC derivatives.The aim of this paper is to explain the basic methods of valuing swaps and show how EMIR and Basel III influence this modulation.