Скачать или смотреть Across-the-Curve Credit Spread Indices - Darrell Duffie | PBC School of Finance, Tsinghua University

In August 2022, Xinyuan Real Estate Fintech Research Center of Tsinghua University Fintech Research Institute and SOFR Academy jointly released "The Chinese Across-the-Curve Credit Spread Indices White Paper". The white paper was co-authored by postdoctoral researcher Li Zhiyong, doctoral student Zhang Zijian, assistant professor Zhang Fudong and professor Zhang Xiaoyan. For more information or to download a copy of the paper please visit: https://sofracademy.com/chinese-axi/

Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business, and professor by courtesy, Department of Economics, Stanford University, has been on the finance faculty at Stanford since receiving his Ph.D. from Stanford in 1984.

Duffie is also a Resident Scholar at the Federal Reserve Bank of New York. Views expressed are not necessarily those of the Federal Reserve Bank of New York of the Federal Reserve System. Duffie has no equity or financial interest in SOFR Academy, Invesco Indexing LLC or Invesco Ltd. AXI is not associated with, or endorsed or sponsored by, The New York Fed or the ARRC.

SOFR Academy supports the Secured Overnight Financing Rate (SOFR). In the longer run, we also support a menu that includes dynamic credit spread add-ons to SOFR, such as AXI. The index is simply a weighted average of the credit spreads of unsecured bank funding transactions with maturities out to five years, with weights that reflect both transactions volumes and issuance volumes.

AXI & FXI were discussed at the Credit Sensitivity Workshops convened by the Federal Reserve Bank of New York for LIBOR transition. AXI was conceived jointly by Professor Antje Berndt of Australian National University (ANU), Professor Darrell Duffie of Stanford University and Dr Yichao Zhu also of ANU. Professor Duffie Chaired the Market Participants Group in 2014 which was established by the Financial Stability Board (FSB) whose Secretariat is located in Basel, Switzerland, and hosted by the Bank for International Settlements. The resulting FSB review was carried out by a high-level Official Sector Steering Group (OSSG) of regulators and central banks and drew from an assessment of the major interest rate benchmarks against the internationally agreed and endorsed IOSCO Principles for Financial Benchmarks. SOFR Academy’s work is separate from but supportive of the Alternative Reference Rates Committee (ARRC).