Abstract:
We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We propose a methodology which takes into account specific features of Euro-denominated wholesale funding markets. We discuss the role for hedge accounting and the advantages of using such a benchmark in the framework of current benchmark reforms and in stressed conditions. Finally, we discuss how our proposal aligns with international guidelines and regulations for market benchmarks.
Citation:
Saroyan, Susanna and Cont, Rama, EURAXI: A Benchmark for Euro Credit Spreads (June 26, 2023). Available at SSRN: https://ssrn.com/abstract=4491834 or http://dx.doi.org/10.2139/ssrn.4491834