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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 with the
Urban J. Jermann, Vivian Z. Yue
semanticscholar +9 more sources
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
doaj +4 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 +4 more sources
An Analytic Solution for Interest Rate Swap Spreads [PDF]
International Review of Finance, 2001 This paper argues that liquidity differences between government securities and short–term Eurodollar borrowings account for interest rate swap spreads. It then models the convenience of liquidity as a linear function of two mean–reverting state variables and values it.
Mark Grinblatt
semanticscholar +8 more sources
Interest Rate Swap Credit Valuation Adjustment [PDF]
SSRN Electronic Journal, 2015 The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task—not only is it necessary to model the future value of the derivative, but also the probability of the default of a counterparty.
Jakub Černý, Jiří Witzany
semanticscholar +7 more sources
The Anatomy of the Euro Area Interest Rate Swap Market [PDF]
SSRN Electronic Journal, 2019 Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral IRS transactions of banks and non-banks.
Silvia Dalla Fontana +3 more
semanticscholar +8 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
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 +5 more sources
Journal of Computational and Applied Mathematics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roland Mallier, Ghada Alobaidi
openalex +3 more sources
Euro Interest Rate Swap Yields: A GARCH Analysis
International Journal of Empirical EconomicsThis paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap ...
Tanweer Akram, Khawaja Mamun
doaj +2 more sources