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Interest Rate Swaps: An Alternative Explanation
Financial Management, 1988n The interest rate swap market, first developed in 1982, had an estimated annual volume of more than $360 billion in 1987.1 Various reasons have been given for the existence and growth of the market, ranging from comparative advantage arguments to agency cost explanations to tax and regulatory reasons.
Andrew Silver +3 more
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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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Intermediation and the market for interest rate swaps
Journal of Financial Intermediation, 1991Abstract This paper analyzes the role of financial intermediaries as marketmakers in the market for interest rate swaps. We argue that intermediaries which hold large nontraded portfolios of swaps are efficient alternatives to direct hedging by counterparties in publicly traded cash and futures instruments.
William A. Kracaw, Tim S. Campbell
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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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Interest Rate Swaps and Corporate Financing Choices
The Journal of Finance, 1992ABSTRACTThis paper describes the firm's decision to borrow short‐term versus long‐term and shows how the introduction of interest rate swaps affects this choice. The model shows that in the absence of a swap market, interest rate uncertainty can lead firms to substitute long‐term for short‐term financing.
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Pricing and risk management of interest rate swaps
European Journal of Operational Research, 2013This paper reformulates the valuation of interest rate swaps, swap leg payments and swap risk measures, all under stochastic interest rates, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations which solves this system is developed and allows forfast and accurate computation.
Paresh Date +3 more
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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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Interest Rate and Foreign Currency Swaps
2017In 2014 US investors were snapping up dollar-denominated floating rate debt issued by corporations in anticipation that the Federal Reserve would begin to increase interest rates. Avis Budget Group saw an opportunity to issue $250 million of floating rate debt but promptly engaged in an interest rate swap to fix its payments at a low long-term rate ...
Geert Bekaert, Robert J. Hodrick
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Blockchain-Based Implementation of Smart Contract and Risk Management for Interest Rate Swap
, 2020Xiaowei Ding, Hongyao Zhu
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Interest rate swaps in an agency theoretic model with uncertain interest rates
Journal of Banking & Finance, 1989Abstract This paper reconciles market participants' claims that interest rate swap financing may reduce financing costs through ‘comparative advantage’ with academic arguments questioning the existence of comparative advantage. The findings suggest that the combination of short-term debt and interest rate swap may reduce financing costs by allowing ...
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