Results 11 to 20 of about 416,897 (325)
Expected Budget Deficits and Interest Rate Swap Spreads - Evidence for France, Germany and Italy [PDF]
Social Science Research Network, 2004 This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets
Kirsten Heppke-Falk, Felix Hüfner
semanticscholar +3 more sources
PROFITABILITY CALCULATION AND ANALYSIS FOR INTEREST RATE SWAP USING THE HULL WHITE MODEL
BarekengThe London Inter-Bank Offered Rate (LIBOR) volatility had resulted in higher interest rate risks faced by many big companies and financial institutions whose assets depend on the interest rate.
Vania Rosalie Hadiono, Felivia Kusnadi
doaj +2 more sources
Trading Risk and Volatility in Interest Rate Swap Spreads [PDF]
SSRN Electronic Journal, 2004 This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge ...
John Kambhu
openalex +5 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
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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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Interest rate swaps clearing and systemic risk [PDF]
Finance Research Letters, 2019 Abstract We develop a model to analyze distress spillover from the OTC interest rate swaps (IRS) market into the interbank market due to central clearing and margin requirements. We show that margin procyclicality in the OTC IRS market derived by interest rate volatility can lead to the onset of systemic liquidity shortage in the interbank market. We
Mohamed Bakoush +2 more
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Вестник университета, 2023 The paper purpose is to present the theories’ value of the times in political economy for solving modern problems. To achieve this goal, it was necessary to solve the following tasks: to give a brief overview of the comparative advantages’ theory, to ...
M. B. Kitinov
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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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Defaultable Interest Rate Swap Explained [PDF]
, 2022 https://www.infona.pl/resource/bwmeta1.element.ID-2baa0367-7dd1-4d8e-b1eb-8175579058db/tab ...
Tim Xiao
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The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
, 2019 This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable.
Xiao, Tim
openaire +9 more sources