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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009

Bacchetta, Philippe; Merrouche, Ouarda - 2015

disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …

Persistent link: https://www.econbiz.de/10011507853

The impact of margin interest on the valuation of credit default swaps

Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79

Persistent link: https://www.econbiz.de/10009671707

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35

Persistent link: https://www.econbiz.de/10011404521

Recent advances in default swap valuation

Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27

Persistent link: https://www.econbiz.de/10001618895

Digital premium

Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76

Persistent link: https://www.econbiz.de/10001770081

Asymmetric dynamics between informed trading activity and credit default swaps

Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85

Persistent link: https://www.econbiz.de/10011968700

Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation

Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60

Persistent link: https://www.econbiz.de/10003379121

An intergenerational cross-country swap

Padovani, Miret; Vanini, Paolo - 2009

economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …

Persistent link: https://www.econbiz.de/10003970417

The performance of the eurosystem's fixed rate tenders since 2004 : theory and evidence

Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2010

The fixed rate tender is one of the main operational formats used by central banks in the implementation of their monetary policies. While academic research has largely dismissed the procedure for its tendency to encourage overbidding, central banks such as the ECB and the Bank of England have...

Persistent link: https://www.econbiz.de/10008797780

On pricing and hedging in the swaption market : how many factors, really?

Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33

Persistent link: https://www.econbiz.de/10003611410