Results 21 to 30 of about 60,141 (335)
Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey
Mathematics, 2021 Bermudan swaptions are options on interest rate swaps which can be exercised on one or more dates before the final maturity of the swap. Because the exercise boundary between the continuation area and stopping area is inherently complex and multi ...
Dariusz Gatarek, Juliusz Jabłecki
doaj +1 more source
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
openaire +3 more sources
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
openaire +6 more sources
Dollarization and Risk Premium in a Risky Country: An Investigation on Turkiye
İstanbul İktisat Dergisi, 2022 In this study, developed from the importance of the deformation caused by dollarization in developing countries, the effect of risk level on financial dollarization is examined.
Murat Eren, Selim Başar, Bengü Tosun
doaj +1 more source
ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES [PDF]
Annals of the University of Oradea: Economic Science, 2012 The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts.
Mutu Simona, Petria Nicolae, Trenca Ioan
doaj
Improving Quality of Long-Term Bond Price Prediction Using Artificial Neural Networks
Kvalita Inovácia Prosperita, 2021 Purpose: The aim of this paper is to propose nonlinear autoregressive neural network which can improve quality of bond price forecasting. Methodology/Approach: Due to the complex nature of market information that influence bonds, artificial ...
Robert Verner +2 more
doaj +1 more source
Fair value hedges with swaps: accounting practice under IFRS
Економіка, управління та адміністрування, 2019 The paper reveals the accounting treatment for hedging against the interest rate risk and the foreign exchange rate risk arising from operations with financial instruments of banks using interest and currency swaps.
V.S. Ambarchian
doaj +1 more source
DETERMINANTS OF INTEREST RATES ON CORPORATE DEBT
Фінансово-кредитна діяльність: проблеми теорії та практики, 2021 . The objective of this article is theoretical and methodological justifying of determining algorithm of the cost of debt capital for enterprises functioning in emerging markets (EM).
O. Tereshchenko +3 more
doaj +1 more source
Journal of Computational and Applied Mathematics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mallier, R, Alobaidi, G
openaire +1 more source
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
doaj