EURAXI: A Benchmark for Euro Credit Spreads

13 Pages Posted: 28 Jun 2023 Last revised: 19 Jul 2023

See all articles by Susanna Saroyan

Susanna Saroyan

University of Oxford

Rama Cont

University of Oxford

Date Written: June 26, 2023

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.

Keywords: LIBOR, benchmark reform, credit risk, interbank markets, EURIBOR, debt markets

JEL Classification: G21, G28

Suggested 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

Susanna Saroyan (Contact Author)

University of Oxford ( email )

Oxford, OX1 3UQ
United Kingdom

HOME PAGE: http://www.inet.ox.ac.uk/people/susanna-saroyan/

Rama Cont

University of Oxford ( email )

Mathematical Institute
Oxford, OX2 6GG
United Kingdom

HOME PAGE: http://www.maths.ox.ac.uk/people/rama.cont

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