Results 251 to 260 of about 137,784 (303)
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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
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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
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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
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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
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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
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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
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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
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“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
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Interest Rate Swap Compounding Formulae
SSRN Electronic Journal, 2021In this short paper, we outline geometric and arithmetic compound formulae for interest rate swaps. We also present ISDA protocol when compounding with a floating spread.
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Effects of interest rate swaps
Journal of Economics and Business, 2001Abstract In this paper we examine the effect of interest rate swaps on the firm, and identify characteristics of firms that use interest rate swaps, reporting findings consistent with interest rate swaps being used as a risk-reducing instrument. Relative to nonswappers, firms using swaps are more likely to experience decreased cash flow variance in ...
Steven Balsam, Sungsoo Kim
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Hedging with Interest Rate Swap
Journal of Economics, Business and Management, 2013International ...
Jaffal, H. +2 more
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Uncollateralised Interest Rate Swap xVA
SSRN Electronic Journal, 2016Derivative valuation adjustments (xVA) have been an evolving topic over the past decade, now giving us a rich theory of what was traditionally referred to as the relatively opaque "credit spread" imposed by banks. As independent risk advisors, we are regularly positioned between clients and their banks, considering the impacts of both parties' xVA when
Ryan McCrickerd +2 more
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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
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Accounting for Interest Rate Swaps
Journal of Accounting, Auditing & Finance, 1987There are major accounting issues for both the counterparties and the principal of an interest rate swap transaction. Currently, the market for swaps well exceeds $150 billion, and at this writing there are no explicit accounting standards for such transactions.
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