prikaz prve stranice dokumenta The impact of the 2008 financial crisis on interest rate swaps
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master's thesis
The impact of the 2008 financial crisis on interest rate swaps
Rijeka: University of Rijeka, Faculty of Economics and Business, 2019. urn:nbn:hr:192:773319
Barbić, Marko
University of Rijeka
Faculty of Economics and Business

Institutional repository: Repository of the University of Rijeka, Faculty of Economics and Business

Cite this document

Barbić, M. (2019). The impact of the 2008 financial crisis on interest rate swaps (Master's thesis). Rijeka: University of Rijeka, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:192:773319

Barbić, Marko. "The impact of the 2008 financial crisis on interest rate swaps." Master's thesis, University of Rijeka, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:192:773319

Barbić, Marko. "The impact of the 2008 financial crisis on interest rate swaps." Master's thesis, University of Rijeka, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:192:773319

Barbić, M. (2019). 'The impact of the 2008 financial crisis on interest rate swaps', Master's thesis, University of Rijeka, Faculty of Economics and Business, accessed 28 August 2024, https://urn.nsk.hr/urn:nbn:hr:192:773319

Barbić M. The impact of the 2008 financial crisis on interest rate swaps [Master's thesis]. Rijeka: University of Rijeka, Faculty of Economics and Business; 2019 [cited 2024 August 28] Available at: https://urn.nsk.hr/urn:nbn:hr:192:773319

M. Barbić, "The impact of the 2008 financial crisis on interest rate swaps", Master's thesis, University of Rijeka, Faculty of Economics and Business, Rijeka, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:192:773319

Metadata
TitleThe impact of the 2008 financial crisis on interest rate swaps
Title (croatian)Utjecaj financijske krize iz 2008. na kamatne swapove
AuthorMarko Barbić
MentorMario Pečarić (mentor)
Committee memberMario Pečarić (predsjednik povjerenstva)
Committee memberHelena Blažić (član povjerenstva)
Committee memberPavle Jakovac (član povjerenstva)
GranterUniversity of Rijeka
Faculty of Economics and Business
Rijeka
Defense date and country2019-09-23, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
The 2008 financial crisis made a regime change for interest rate swaps. Before the crisis, interest rates were relatively consistent and that is what allowed financial industry to structure a single curve to valuate and price interest rate swaps. In the middle of 2007 however, a few anomalies happened that could be detected on interest rate markets which unwillingly forced participants on market to rethink their valuation and pricing framework. Liquidity and credit problems became extremely important in the valuation and pricing of interest rate swaps, so the new market structure led to the acceptance of a new framework, so called multi-curve framework. A single yield curve wasn't adequate any longer to get discount factors and forward rates because now, there was a demand for numerous separated curves to get narrative for the various dynamics of derivative instruments of diverse maturities. In essence, this thesis interprets the way the valuation and pricing of interest rate swaps has expanded and evolved from a classic framework to a modern framework. It also analyses and the two mentioned pricing approaches by comparison and by examination of two points in time. Therefore, the multiple-curve approach should be nowdays used in case of valuation and pricing of interest rate swap.
Keywords
Languageenglish
URN:NBNurn:nbn:hr:192:773319
Study programmeTitle: Business Economics; specializations in: Finance and Banking, Entrepreneurship, Management, Finance and Accounting, Marketing, International Business, IT Business
Course: International Business
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2019-12-03 16:27:02