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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 ...
Jason Court, Andrew Sutherland
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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 ...
Jason Court, Andrew Sutherland
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Interest Rate Swap Compounding Formulae [PDF]
SSRN Electronic Journal, 2021 In 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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Modeling Chilean Long-Term Swap Yields Based on the Short-Term Interest Rate: A Garch Approach
Annals of Financial EconomicsThis paper models the dynamics of Chilean interest rate swap yields. It examines whether the change in the short-term interest rate exerts a decisive influence on the change in long-term swap yields after controlling key macroeconomic and financial ...
Tanweer Akram, Khawaja Mamun
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The pricing of interest rate swaps
Journal of Financial Services Research, 1990Interest rate swaps have become an important tool for financial institutions because they provide a convenient way to reduce interest rate risk. Swaps allow financial institutions to obtain short-term deposits in the local deposit market and then transform these into longer-term liabilities.
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A theory of interest rate swap overhedging
Managerial Finance, 2005This paper explains the concepts of underhedging and overhedging in interest rate swaps and demonstrates how overhedged and underhedged swaps might be accounted for under Statement of Financial Accounting Standards No. 133 (FAS 133) and international Accounting Standard No. 39.
Robert E. Jensen, Angela L. J. Hwang
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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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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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Studies in the pricing of interest rate swaps
2021The author retains copyright of this thesis. It must only be used for personal non-commercial research, education and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission. For further terms on this licence: https://rightsstatements.org/page/InC-EDU/1.0/?language=en Contact ...
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Asset reallocation with interest rate swaps
Applied Economics Letters, 1995A bond portfolio model with interest rate swaps is developed to carry out the mean-variance analysis. It is found that interest rate swaps can be used to reallocate non-marketable bonds in the portfolio by swapping out the non-traded fixed-rate bonds into LIBOR-based floating rate notes.
Richard Yan-Ki Ho, Zhenmin Fang
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The interest rate swap: Theory and evidence
Journal of Corporate Finance, 1999Abstract Nonfinancial firms that use interest rate swaps are compared with nonusers for the years 1991, 1993, and 1995. Swap use grew from 6% of all firms in 1991 to 8% in 1995. Nonfinancial firms use fixed rate payer swaps more often than floating rate payer swaps.
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