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Modeling the Factors of Euribor - Overnight Indexed SWAP Spread

Student: Patrin Artem

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Bachelor

Final Grade: 8

Year of Graduation: 2014

<p>This work is devoted to modeling of EURIBOR-Overnight indexed swap spread. This is assumed to be a risk barometer of banking system, as being the difference between unsecured interbank lending and risk free rate - overnight indexed swap rate. Traditional thought is that spread containes classical banking risks such as liquidity and credit risks. The innovation of my paper is the assumption that spread dynamics is explained by market risks such as expected of expected interest rate, currency risk and &nbsp;stock exchange volatility. I got the results which fit my idea. The results got from the anaisys of banking system risks should be taken into account by institutional investors, analysts and european regulators.</p>

Full text (added June 23, 2014) (1.69 Kb)

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