Pénzügyi élet a Libor után
نویسندگان
چکیده
A tanulmány bevezetőjében vázlatosan bemutatjuk a referenciakamat szükségességét és annak egyik leginkább ismert típusát, LIBOR-t (London Interbank Offered Rate), valamint LIBOR manipulációjára tett kísérleteket. Ezek után részletesen áttekintjük értékeljük mutató megreformálására szabályozói kezdeményezéseket, kitérve az európai globális környezetre, illetve még szabályozás előtti feladatokra. tanulmányban ajánlásokat fogalmazunk meg magyarországi referenciakamat-keretrendszerrel kapcsolatosan is, javasoljuk egy ezzel foglalkozó munkacsoport kialakítását.
منابع مشابه
A Mechanism for LIBOR∗
The investigations into LIBOR have highlighted that it is subject to manipulation. We propose a mechanism that gets banks to reveal their borrowing costs truthfully at no cost to the administrator. The mechanism works even when borrowing does not occur. First, banks report the rates at which they can borrow. Second, a whistleblower bank may contest another bank’s report by revealing a transacti...
متن کاملLibor Běhounek:
Microarrays present new powerful technique for high-throughput, global transcriptomic profiling of gene expression. It permits to investigate the expression levels of thousands of genes simultaneously. The global snapshots of gene expression, both among different cell types and among different states of a particular cell type can help in identifying candidate genes that may be involved in a var...
متن کاملCoupling local currency Libor models to FX Libor models
We focus on the coupling of two existing and calibrated single currency Libor models into a joint Libor model that allows for pricing of multiple currency based structured interest rate products. Our main contribution is twofold: On the one hand we provide a method for synthesizing two local currency based correlation structures into a correctly defined joint correlation structure that describe...
متن کاملA Tractable Libor Model with Default Risk
We develop a model for the dynamic evolution of defaultfree and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are analytically tractable under defaultable forward measures. This leads to explicit formulas for CDS spreads, while semi-analytical formulas are derived for other credi...
متن کاملA New Approach to Libor Modeling
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to their own forward measure. Additionally, and most importantly, our approach a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Gazdaság és pénzügy
سال: 2021
ISSN: ['2415-8909', '2677-1314']
DOI: https://doi.org/10.33926/gp.2021.2.3