Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Abstract and Applied Analysis, 2014 We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest ...
Anjiao Wang, Zhongxing Ye
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Credit Risk and the Yen Interest Rate Swap Market [PDF]
, 2000 Young Ho Eom +2 more
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The Strategic Flexibility of Interest Rate Swaps
Journal of Business Strategies, 1970 Russ Ray
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The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads [PDF]
, 2001 Francis A. Longstaff +2 more
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Fiscal Policy Events and Interest Rate Swap Spreads: Evidence from the EU [PDF]
Social Science Research Network, 2004 António Afonso, Rolf Strauch
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Interest rate swaps and economic exposure [PDF]
Global Finance Journal, 1998 The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate derivative by nonfinancial firms and that nonfinancial firms ...
Milind Shrikhande +2 more
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The importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market [PDF]
International Entrepreneurship Review, 2019 Objective: The article aims to present the importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market. Research Design & Methods: The theoretical considerations in the article were based
Robert W. Włodarczyk +1 more
doaj +2 more sources
Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model [PDF]
, 2007 Ying Huang +2 more
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Zabezpieczenie ryzyka stopy procentowej w kredytowaniu działalności przedsiębiorstw
Studia i Materiały, 2018 The improving economic situation, loosened credit policy of banks and a low level of interest rates foster the increase in enterprises’ credit obligations.
Monika Klimontowicz, Anna Pyka
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The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
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