Results 1 to 10 of about 545,548 (381)
Macro-financial models of Canadian dollar interest rate swap yields. [PDF]
PLoS ONEThis paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate on ...
Tanweer Akram, Khawaja Mamun
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Credit Risk and the Yen Interest Rate Swap Market [PDF]
, 2000 In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the ...
Young Ho Eom +2 more
core +4 more sources
Valuation of Credit Contingent Interest Rate Swap with Credit Rating Migration
International Journal of Computational Mathematics, 2020 In this paper, a flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS) with credit rating migration is proposed, which is sensitive to stochastic interest rates and counterparty default risk. This is a new pricing model for CCIRS.
Jin Liang, Hongchun Zou
semanticscholar +3 more sources
Mechanism and accounting treatment of interest rate swap [PDF]
Bankarstvo, 2015 Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of
Prošić Danica
doaj +3 more sources
Chinese yuan interest rate swap yields
PLOS ONE, 2023 This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price ...
Tanweer Akram, Khawaja Mamun
openaire +4 more sources
TINJAUAN ASPEK PAJAK PENGHASILAN ATAS TRANSAKSI INSTRUMEN KEUANGAN DERIVATIF SWAP [PDF]
Jurnal Akuntansi dan Keuangan, 2003 The use of foreign currency is sensitive enough to the exchange rate fluctuation. To protect assets and liabilities that vulnerable to exchange rate fluctuation interest rate, taxpayers may use swap derivative financial instrument.
Yenni Mangoting
doaj +1 more source
Interest Rate Swaps and Corporate Default [PDF]
SSRN Electronic Journal, 2013 This paper studies firms' usage of interest rate swaps to manage risk in a model economy driven by aggregate productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence, firms in the model are fixed-rate payers, and swap positions are negatively correlated ...
Urban J. Jermann, Vivian Z. Yue
openaire +7 more sources
Credit contingent interest rate swap pricing. [PDF]
Math Ind Case Stud, 2017 Credit value adjustment (CVA) is an adjustment to an existing trading price based on the counterparty-risk premium. Currently, CVA is computed with an implicit assumption that the replacement contract is default-free after the original counterparty defaults, with the assumption that those trades will not re-assigned.
Huang H, Huang H, Wang E, Zhu H.
europepmc +4 more sources
The importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market [PDF]
International Entrepreneurship Review, 2019 Objective: The article aims to present the importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market. Research Design & Methods: The theoretical considerations in the article were based
Robert W. Włodarczyk +1 more
doaj +4 more sources
Journal of Financial and Quantitative Analysis, 2016 We use proprietary transaction data on interest rate swaps to assess the effects of centralized trading, as mandated by Dodd–Frank, on market quality. Contracts with the most extensive centralized trading see liquidity metrics improve by between 12% and ...
Evangelos Benos +2 more
openalex +2 more sources