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dc.contributor.authorDec, Marcin
dc.identifier.citationDec M., On the trade-offs in money market benchmarks' stabilisation, SGH KAE Working Papers, 2018, nr 2018/039, s. 1-19en
dc.description.abstractWe propose a theoretical stochastic set-up for a panel of contributors to a volume weighted raw money market index, which is the main contribution of this research. 'The hypothetical problems with: changes in the panel's composition as well as the irregularity of daily contributions may strongly influence the utility of a final benchmark to be used in medium and long term loan contracts, especially with retail clients. Our focus is on several classes of benchmarks' formulae that are derived from this raw index and allow for some confinement of the mentioned drawbacks while decreasing quality measured by other criteria (goodness of fit). The set of classes include: the geometric time weights with different smoothing parameters and observation window's length used on the original raw index, stabilisation of the raw index in bands, rolling window volume weights rebalancing and finally the geometric time weights performed on log-transformed index (log-raw index is calculated from volume logarithms). The potential trade-offs in such a benchmark's stabilisation efforts are shown.en
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dc.subjectfinancial market indicesen
dc.subjectinterest rate benchmarksen
dc.subjectcompound Poisson processen
dc.subjectindex volatility reductionen
dc.subjecttransaction based benchmarksen
dc.titleOn the trade-offs in money market benchmarks' stabilisationen
dc.description.seriesSGH KAE Working Papers Seriesen

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