Download PDF Introduction Short-rate martingale models were among the first approaches to the modelling of interest rate term structures, providing a flexible framework for pricing fixed-income securities and interest rate derivatives. These models describe the evolution of the continuous short rate as a stochastic process and are widely used in Read more…
Download PDF Introduction What are the main differences between different European economies right now? Will the two traditionally strongest nations be able to recover from these years of weak economic performance and political uncertainties? In this article we will try to tackle these questions, as well as exploring the principal Read more…
Download PDF Introduction For the last 12 months, Central Banks worldwide have been under the limelight as market participants tried to decipher their respective rate paths after the conclusion of the global hiking cycle. In this article we attempt to decompose the key factors that central banks take into consideration Read more…
Download PDF Introduction Interest rate derivatives (IRD) represent the largest segment of the OTC derivative market. As of June 2023, the global OTC derivatives notional outstanding amounted to $714.7tn as reported by the Bank for International Settlements (BIS). The biggest share of this market is represented by IRD and FX Read more…
Download PDF Introduction In a high interest rate environment, firms have to face new challenges to their capital structure and adapt to higher financing costs. Highly leveraged firms now confront more than substantial interest expenses and difficulties in refinancing. More borrowers now turn to private credit due to its additional Read more…
Download PDF Introduction The purpose of this article is to investigate whether gold, and in particular its spot returns against other currencies, display some correlation with other macroeconomic drivers, particularly with monetary policy decisions by Central banks. Gold: Anti-Cyclical Asset or simple Commodity? In the realm of financial markets and Read more…
Download PDF Introduction In 2022, rates traders have had to navigate a landscape of deteriorating liquidity in sovereign debt markets. Over the past few years, there have been multiple episodes of severe illiquidity in US Treasuries and related markets. Firstly, US repo rates spiked in September 2019, with intraday secured Read more…
Download PDF Abstract While the literature investigating risk premia driving the cross section of stock returns is extensive, fewer studies analyze corporate bond returns. We set out to understand which factors and firm characteristics command a premium in terms of expected returns on corporate bonds, both in the investment grade Read more…
Download PDF One topic has dominated the financial news recently: tech-stocks falling out of favor with investors. The pandemic-era dominance of tech has come to an end, with US value stocks outperforming growth by around 10% year to date. Most tech-stocks have collapsed over the last 3 months, with the Read more…
Download PDF Introduction A specter is in the horizon for US investors: the specter of inflation. As the fed policy objectives shifted toward allowing a brief term inflation “overshoot” the 10-year and 5-year breakeven inflation rates, the differential between TIPS and nominal bond yields, have reached new heights in the Read more…
Pension funds are key investors in the market, with around $27.6tn in assets as of 2018. In this article, we will present a brief overview of pension schemes and funds around the world, with a focus on the challenges that pension funds will have to face in the near future. Read more…
In a world of excessive liquidity, where open market operations by central banks are ineffective, unconventional and unheard-of monetary policies need sometimes to be applied. In this article we will briefly discuss of the overnight interbank lending market in Europe (and changes in how its respective index is calculated) and Read more…
Greek Banking Sector The Greek banking system is built around four large systemic banks, whose summary statistics you can see in the table below. All four banks have undergone a significant restructuring process, whereby both the asset value and the market capitalization went down a lot. In addition, a number Read more…
Introduction In this paper, we will try to explain what are the Euro Interbank Offered Rate (Euribor) and Euro OverNight Index Average (Eonia) rates, what drives the spread between them and specifically why this was the case during the 2008 financial crisis. Euro Interbank Offered Rate (Euribor) rates are the Read more…
In the current increasing interest rate environment, the debate about the controversial but nevertheless important benchmark has sparked off again. This is why, we thought it relevant to provide in the following article a refresher on the history and functioning of the London Interbank Offered Rate, as well as examine Read more…