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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
semanticscholar +4 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 ...
Tanweer Akram, Khawaja Mamun
semanticscholar +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
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
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
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Interest Rate Swap Credit Valuation Adjustment [PDF]
The Journal of Derivatives, 2014 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, J. Witzany
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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
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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
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Interest Rate Swap 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
semanticscholar +7 more sources