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Interest Rate Swap Credit Valuation Adjustment [PDF]
The Journal of Derivatives, 2015 The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task—not only is it necessary to model the future value of the derivative, but also the probability of the default of a counterparty.
Jakub Cerny, Jiri Witzany
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Interest Rate Swaps and Corporate Default [PDF]
SSRN Electronic Journal, 2013 This paper studies firms' usage of interest rate swaps to manage risk in a model economy driven by aggregate productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence, firms in the model are fixed-rate payers, and swap positions are negatively correlated ...
Urban J. Jermann, Vivian Z. Yue
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A Jurisprudential Feasibility Study of Designing Interest Rate Swap in Proportion to the Iranian Capital Market [PDF]
تحقیقات مالی اسلامی (پیوسته), 2013 Swap contracts, as kind of derivative instruments, are of high importance and usage in financial markets. One widely-used sort of them is interest rate swap contract. As the Iranian financial market is developing, it is needed that all new instruments be
Gholam Ali Masouminia, Mahdi Elahi
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Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
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Interest Swaps in Croatian Banking Possibilities of Application [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2004 The author analyzes interest rate trends in the Republic of Croatia within the period 1992-2003. What are the means of protecting against interest risks have also been subject to analysis, although in practice it very often comes down to setting variable
Antun Jurman
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Monetary policy shocks and the signaling channel of monetary policy in China
China Economic Quarterly International, 2023 This paper identifies exogenous monetary policy shocks based on the high frequency transaction data of China's interest rate swap market, and explores the ‘signaling channel’ of monetary policy by investigating the transmission of different monetary ...
Zhenzhu Chen, Li Li, Changhua Yu
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Partitioning qubits in hypergraph product codes to implement logical gates [PDF]
Quantum, 2023 The promise of high-rate low-density parity check (LDPC) codes to substantially reduce the overhead of fault-tolerant quantum computation depends on constructing efficient, fault-tolerant implementations of logical gates on such codes.
Armanda O. Quintavalle +2 more
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Mathematics, 2022 In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution,
Yanlai Song +3 more
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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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Journal of Computational and Applied Mathematics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mallier, R, Alobaidi, G
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