Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic … observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its … swap rates. The exchange's variance swap rate formula, used to quote volatility indices such as VIX, has an upward bias …

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …

measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze … the relationship between the swap spreads and credit risk variables.(...) …

The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent …. Combined with dealer banks' balance sheet constraints, this demand can drive swap spreads to become negative. Empirically, we … explanatory variable of 30-year swap spreads. We find a similar link between pension funds' underfunding and swap spreads for two …

We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign … yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign … bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …