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

Varování

Publikace nespadá pod Filozofickou fakultu, ale pod Ekonomicko-správní fakultu. Oficiální stránka publikace je na webu muni.cz.

Autoři	SVOBODA Martin REUSE Svend
Rok publikování	2012
Druh	Článek ve sborníku
Konference	Managing and Modelling of Financial Risks 6th International Scientific Conference
Fakulta / Pracoviště MU	Ekonomicko-správní fakulta
Citace
Obor	Ekonomie
Klíčová slova	Basel III; European Market Infrastructure Regulation; Central Clearing Party; Over the Counter; Credit Value Adjustment
Popis	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.