Results 11 to 20 of about 8,480,943 (296)
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
doaj +2 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
Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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 +6 more sources
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
openaire +3 more sources
Interest Rate Swap Market Complexity and Its Risk Management Implications
Complexity, 2018 The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks.
Steve Y. Yang, Esen Onur
doaj +1 more source
Repeating Christmas jump in LIBOR [version 2; peer review: 2 approved]
F1000Research, 2023 Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour.
Vikenty Mikheev, Serge E. Miheev
doaj +1 more source
, 2022 An interest rate swap is a financial contract between two parties to exchange future interest rate payments over a set period of time. There are two legs associated with each party.
Alan Xie
core +2 more sources
Osservazioni a margine della sentenza a sezioni unite della Corte di Cassazione del 12 maggio 2020 n. 8770 [PDF]
IANUS Diritto e Finanza, 2020 Giurisprudenza ...
Eleonora Forcignanò
doaj
Calibration of the chaotic interest rate model [PDF]
, 2012 In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR rates and forward swap rates by modelling the state price density.
Tsujimoto, Tsunehiro
core +2 more sources