Annalaura Ianiro on Muck Rack

Annalaura Ianiro

As seen in: EIN News, Finadium
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Articles

ECB: Measuring synthetic leverage in interest rate swaps

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By Annalaura Ianiro, Agnese Leonello, Dario Ruzzi
| Finadium
by Annalaura Ianiro, Agnese Leonello and Dario Ruzzi Published as part of the Macroprudential Bulletin, 15 January 2025. Synthetic leverage is a key source of vulnerability for the non-bank financial intermediation (NBFI) sector. Yet there is lack of consensus on how to measure it. In this article, we propose a novel methodological framework to measure synthetic leverage and apply it to interest rate swaps using data gathered under the European Market Infrastructure Regulation (EMIR).
Open in Who Shared Issue with article?

Measuring synthetic leverage in interest rate swaps

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By Annalaura Ianiro, Dario Ruzzi, Agnese Leonello
| europa.eu
Published as part of the Macroprudential Bulletin, 15 January 2025. Synthetic leverage is a key source of vulnerability for the non-bank financial intermediation (NBFI) sector. Yet there is lack of consensus on how to measure it. In this article, we propose a novel methodological framework to measure synthetic leverage and apply it to interest rate swaps using data gathered under the European Market Infrastructure Regulation (EMIR). Our contribution is threefold.
Open in Who Shared View Duplicates (2) Issue with article?
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