SOFR Academy welcomes publication of “EURAXI: a benchmark for Euro credit spreads” paper by University of Oxford academics
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Tuesday, June 27, 2023
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Today, SOFR Academy, a financial education and market information provider, welcomed the publication of the paper “EURAXI: a benchmark for Euro credit spreads” by leading academics Professor Rama Cont and Dr Susanna Saroyan of the University of Oxford, England.
Key Points:
- Today, SOFR Academy, a financial education and market information provider, welcomed the publication of the paper “EURAXI: a benchmark for Euro credit spreads” by leading academics Professor Rama Cont and Dr Susanna Saroyan of the University of Oxford, England.
- The authors propose a methodology for constructing EURAXI, a transaction-based credit spread benchmark for Euro interest rates, which considers specific features of Euro-denominated wholesale funding.
- Finally, the paper discusses robustness and representativeness of EURAXI in line with the International Organization of Securities Commissions principles for benchmark design and EU regulation.
- The publication of the EURAXI paper complements the Chinese AXI paper produced by academics at the Tsinghua University PBC School of Finance in Beijing, China.