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Economic Analysis, 2014 Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk.
Marina Pepić
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Macro-financial models of Canadian dollar interest rate swap yields. [PDF]
PLoS ONEThis paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate on ...
Tanweer Akram, Khawaja Mamun
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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 ...
Gautam Goswami, Milind M. Shrikhande
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تنمیة الرافدینThis research aims to examine the influence of interest rate swaps on banks' earnings within the context of modern capital markets, characterized by dynamism and continuous development, and to explore the role of derivative financial instruments in risk ...
Zubaida Shukri Hussein Al-Mziri +1 more
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Euro Interest Rate Swap Yields: A GARCH Analysis
International Journal of Empirical EconomicsThis paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap ...
Tanweer Akram, Khawaja Mamun
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Interest rate swaps clearing and systemic risk [PDF]
Finance Research Letters, 2018 Abstract We develop a model to analyze distress spillover from the OTC interest rate swaps (IRS) market into the interbank market due to central clearing and margin requirements. We show that margin procyclicality in the OTC IRS market derived by interest rate volatility can lead to the onset of systemic liquidity shortage in the interbank market. We
Mohamed Bakoush +2 more
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Defaultable Interest Rate Swap Explained
, 2022 https://www.infona.pl/resource/bwmeta1.element.ID-2baa0367-7dd1-4d8e-b1eb-8175579058db/tab ...
Tim Xiao
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Interest-Rate Swaps and Arbitrage [PDF]
Finance a uver - Czech Journal of Economics and Finance, 2001 Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit risk is taken in consideration.
Jiøí Málek
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, 2015 This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases.
Lovisa Jangenstål
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An analytical formula for pricing interest rate swaps in terms of bond prices under the extended Cox-Ingersoll Ross model [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2021 This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model.
Nopporn Thamrongrat, Sanae Rujivan
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