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Interest Rate Swap Credit Valuation Adjustment [PDF]
The Journal of Derivatives, 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 Cerny, Jiri Witzany
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Interest rate swaps and economic exposure [PDF]
Global Finance Journal, 1998 The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate derivative by nonfinancial firms and that nonfinancial firms ...
Gautam Goswami, Milind M. Shrikhande
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Economic Analysis, 2014 Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk.
Marina Pepić
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Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Abstract and Applied Analysis, 2014 We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest ...
Anjiao Wang, Zhongxing Ye
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Common risk factors in the US and UK interest swap markets-evidence from a non-linear vector autoregression approach [PDF]
, 2002 This paper produces evidence in support of the existence of common risk factors in the US and UK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR) framework, we show that the dynamics of the US and UK swap ...
Lekkos, I, Milas, C
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Interest-Rate Swaps and Arbitrage [PDF]
Finance a uver - Czech Journal of Economics and Finance, 2001 Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit risk is taken in consideration.
Jiøí Málek
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Determinants of interest rate swap spreads
Journal of Banking & Finance, 1998 Abstract This study argues that an interest rate swap, as a non-redundant security, creates surplus which will be shared by swap counterparties to compensate their risks in swaps. This action in turns affects swap spreads. Analyzing the time series impacts of the changes of risks of swap counterparties on swap spreads, we conclude that both lower and
Larry H.P. Lang +2 more
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The Market Liquidity of Interest Rate Swaps
The Journal of Financial Market InfrastructuresIsmael Alexander Boudiaf +2 more
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Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model [PDF]
, 2007 Ying Huang +2 more
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Zabezpieczenie ryzyka stopy procentowej w kredytowaniu działalności przedsiębiorstw
Studia i Materiały, 2018 The improving economic situation, loosened credit policy of banks and a low level of interest rates foster the increase in enterprises’ credit obligations.
Monika Klimontowicz, Anna Pyka
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