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Hedging with Interest Rate Swap
Journal of Economics, Business and Management, 2013International ...
Jaffal, H. +2 more
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Valuation of credit contingent interest rate swap with credit rating migration
International Journal of Computational Mathematics, 2020In this paper, a flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS) with credit rating migration is proposed, which is sensitive to stochastic interest rates and counterparty default risk. This is a new pricing model for CCIRS.
Jin Liang, Hongchun Zou
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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
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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
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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.
John D. Bazley, Hugh Grove
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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.
John D. Bazley, Hugh Grove
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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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Risk Transfer with Interest Rate Swaps
SSRN Electronic Journal, 2020AbstractThis paper proposes Entity‐Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counterparty relationships.
John S. Roberts +4 more
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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
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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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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.
Yoshiki Obayashi, Antonio Mele
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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.
Yoshiki Obayashi, Antonio Mele
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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
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