Work detail

The transition from IBORs to new benchmarks

Author: Mgr. Kateřina Ratajová
Year: 2022 - summer
Leaders: Mgr. Petr Polák MSc. Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 79
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/174093
Abstract: The manipulation of LIBOR (London Interbank Oered Rate) and other issues
around the interbank oer rates have led to their replacement by overnight
rates. Some interbank oered rates ceased at the end of 2021. Thus, this
thesis is devoted to observing their behavior, estimating their drivers, and
comparing them. For analysis of the rates’ drivers is used ARIMAX model,
which is an ARIMA model extended by exogenous variables. The possible
drivers are indexes, which indicate volatility, sensibility, financial stress, and
liquidity. Among key findings of this thesis are that the European IBOR rates
are more prone to market volatility, which explains the impact of the European
stock index. Furthermore, Bloomberg’s indexes of financial condition are a good
indicator for both European IBOR rates as well as British pound LIBOR and
SONIA. In the US, USD LIBOR reacts to a liquidity index, while SOFR to the
volatility in the market.
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