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Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates

Zhao, Chaoyi; Jia, Zijian; Wu, Lan - In: Insurance : mathematics and economics 114 (2024), pp. 156-175

Persistent link: https://www.econbiz.de/10015049388

Bond futures, inflation-indexed bonds, and inflation risk premium

Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99

Persistent link: https://www.econbiz.de/10010411577

The Effects of the Spread Risk in Terms of Basis Points From Changes in the Market Prices of Callable Bond Future Due to Credit Risk : Evidence From the Twist Effect of the Yield C...

Guirguis, Michel - 2021

In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...

Persistent link: https://www.econbiz.de/10013232222

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

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

Persistent link: https://www.econbiz.de/10012939794

Determinants of mortgage interest rates : treasuries versus swaps

Sirmans, C. Stace; Smith, Stanley D.; Sirmans, G. Stacy - In: The journal of real estate finance and economics 50 (2015) 1, pp. 34-51

Persistent link: https://www.econbiz.de/10010486912

Benchmark tipping in the global bond market

Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, Philip - 2014

Persistent link: https://www.econbiz.de/10010434409

Dynamics of market anomalies and measurement errors of risk-free interest rates

Hui, Cho H.; Lo, Chi-Fai; Fung, Chin-To - 2017

Persistent link: https://www.econbiz.de/10012201359

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021

Transmission of Japanese government bond and swap markets under negative interest rate policy

Ito, Takayasu - In: International journal of economic policy in emerging … 13 (2020) 4, pp. 305-311

Persistent link: https://www.econbiz.de/10012507971

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