Results 241 to 250 of about 8,480,943 (296)
Valuing Interest Rate Swap Contracts in Uncertain Financial Market
Sustainability, 2016 Swap is a financial contract between two counterparties who agree to exchange one cash flow stream for another, according to some predetermined rules. When the cash flows are fixed rate interest and floating rate interest, the swap is called an interest ...
exaly +2 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Journal of Financial Economics, 1993
Abstract Using quotations from two interest rate swap dealers with different credit ratings (AAA and A), we examine the effect of dealers' credit reputations on swap quotations and bid-offer spreads. The AAA offer rates are significantly higher than the A offer rates, and the AAA bid rates are significantly lower than the A bid rates.
Tong-sheng Sun +2 more
openaire +1 more source
Abstract Using quotations from two interest rate swap dealers with different credit ratings (AAA and A), we examine the effect of dealers' credit reputations on swap quotations and bid-offer spreads. The AAA offer rates are significantly higher than the A offer rates, and the AAA bid rates are significantly lower than the A bid rates.
Tong-sheng Sun +2 more
openaire +1 more source
2013
Interest rate swaps (IRS) are incredibly popular. They have come from humble beginnings (only a few decades ago) and grown to be an irrevocable part of the fabric of our financial system. They are bought and sold around the world by banks, individuals, hedge funds — so much so, that the total outstanding notional.mount of swaps amounts to hundreds of ...
Andrew Sutherland, Jason Court
openaire +2 more sources
Interest rate swaps (IRS) are incredibly popular. They have come from humble beginnings (only a few decades ago) and grown to be an irrevocable part of the fabric of our financial system. They are bought and sold around the world by banks, individuals, hedge funds — so much so, that the total outstanding notional.mount of swaps amounts to hundreds of ...
Andrew Sutherland, Jason Court
openaire +2 more sources
2015
This chapter builds on the general framework of Chap. 2 and develops indexes of expected volatility for interest rate swaps in a model-free fashion. It illustrates the main empirical and theoretical challenges described in the previous chapters in the context of the interest rate swap market while attempting to be as self-contained as possible.
Antonio Mele, Yoshiki Obayashi
openaire +1 more source
This chapter builds on the general framework of Chap. 2 and develops indexes of expected volatility for interest rate swaps in a model-free fashion. It illustrates the main empirical and theoretical challenges described in the previous chapters in the context of the interest rate swap market while attempting to be as self-contained as possible.
Antonio Mele, Yoshiki Obayashi
openaire +1 more source
Journal of Accounting Education, 1997
Abstract This instructional case is intended to introduce graduate and undergraduate financial accounting and finance students to derivatives using interest rate swaps. The major learning objective is to understand derivative accounting methods, using interest rate swaps, as proposed by the Financial Accounting Standards Board's recent Exposure Draft.
Hugh D. Grove, John D. Bazley
openaire +1 more source
Abstract This instructional case is intended to introduce graduate and undergraduate financial accounting and finance students to derivatives using interest rate swaps. The major learning objective is to understand derivative accounting methods, using interest rate swaps, as proposed by the Financial Accounting Standards Board's recent Exposure Draft.
Hugh D. Grove, John D. Bazley
openaire +1 more source
Pricing and Risk Management of Interest Rate Swaps
European Journal of Operational Research, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Paresh Date, Rogemar Mamon, Sovan Mitra
exaly +2 more sources
An Economic Analysis of Interest Rate Swaps
The Journal of Finance, 1986ABSTRACTInterest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps.
Bicksler, James, Chen, Andrew H
openaire +1 more source
Pricing Interest Rate Swaps in Malaysia
Review of Pacific Basin Financial Markets and Policies, 2004This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002.
Davies, J.R. +3 more
openaire +3 more sources
The Market for Interest Rate Swaps
Financial Management, 1988by a floating interest rate. Although the instrument only first appeared in 1982,1 U.S. dollar interest rate swaps have grown into a market with 1987 volume estimated at $542 billion.2 With such growth has come concern about the risks in this market. Indeed, in their capital adequacy proposal, the Federal Reserve and the Bank of England suggest, "The ...
Clifford W. Smith +2 more
openaire +1 more source
The Journal of Derivatives, 2004
“The standard textbook explanation shows how two corporate counterparties of differing credit quality can swap fixed for floating interest payments and both end up ahead. But this explanation only provides a range, not a specific value, for the equilibrium swap rate, based on rate spreads in the corporate market. In this article, Klein argues that much
openaire +1 more source
“The standard textbook explanation shows how two corporate counterparties of differing credit quality can swap fixed for floating interest payments and both end up ahead. But this explanation only provides a range, not a specific value, for the equilibrium swap rate, based on rate spreads in the corporate market. In this article, Klein argues that much
openaire +1 more source