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Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020

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Caspers, Peter - 2014

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …

Persistent link: https://www.econbiz.de/10013050952

A monetary policy-based explanation of swap spreads in China

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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

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The term structure of interbank risk

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Credit default swap spreads, fair-value spreads and interest rate dynamics

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Riding the swaption curve

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What determines the yen swap spread?

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13

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Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps

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Rate fears gauges and the dynamics of fixed income and equity volatilities

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