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Valuing Interest Rate Swaps UsingOvernight Indexed Swap (OIS) Discounting
The Journal of Derivatives, 2013The role of LIBOR in interest rate swaps and other financial derivatives is to be the effective “riskless” rate, based on the premise that while banks that could borrow in the market at LIBOR flat were not completely risk-free, the rate corresponded to a high credit quality, approximately AA. The 2008 financial crisis left most banks financial weakened,
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Forward Rate Agreements and Interest Rate Swaps
2000Swaps in all but name have been around for many years. Originally conceived to help stabilise currencies and facilitate financial activities between governments as long ago as the 1920s, they have, in recent years, developed beyond recognition from their forerunners and now play a major global role in corporate sector financing.
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Determinants of Interest rate swap spreads: A quantile regression approach
Journal of Economics and Finance, 2022Kenneth A Tah
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Valuing Interest Rate Swap Contracts in Uncertain Financial Market
Sustainability, 2016Yi Zhang
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Valuation of credit contingent interest rate swap with credit rating migration
International Journal of Computer Mathematics, 2020Jin Liang, Hongchun Zou
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