-rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves …

In this paper, we describe the evolution of the Federal Reserve's swap lines from their inception in 1962 as a … the Great Recession. We describe a number of consequences associated with swap operations. We argue, for example, that …

interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of … whether swap contracts have increased or decreased systematic risk in the U.S. banking system. We find that the banking system … as a whole faces little net interest-rate risk from swap portfolios …

the portfolio holds common stocks amounts to an asset swap. Such an asset swap does not increase national saving, wealth …. The asset swap is deemed successful if the stock portfolio generates sufficient cash to pay off the interest and principal …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …