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Essays on swaps and default risk
Mozumdar, Abon - 1997
Persistent link: https://www.econbiz.de/10000982059
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Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount
Gargouri, Ayoub - 2019
This paper extends extant valuation models of interest rate swaps (IRS) with counterparty credit risk by accounting for wrong-way risk and OIS discounting. The proposed model extends Brigo and Pallavicini's (2007) and Ruiz et al.'s (2013) models, by capturing wrong-way risk in the CVA...
Persistent link: https://www.econbiz.de/10012902997
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Risk Transfer with Interest Rate Swaps
Baker, Lee - 2020
This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap … measured by notional amount is $231 trillion, but, measured by ENNs, is only $13.9 trillion 5-year swap equivalents, which is …
Persistent link: https://www.econbiz.de/10012827160
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub; Lai, Van Son; Soumaré, Issouf - In: The journal of fixed income 26 (2017) 3, pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
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Pricing catastrophe swaps with default risk and stochastic interest rates
Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013332712
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Demand-and-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - In: Journal of financial economics 154 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015072199
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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Zinsswaps als Instrument der Unternehmensfinanzierung
Breuer, Wolfgang - In: Unternehmensführung und Kapitalmarkt : Festschrift …, (pp. 1-34). 1998
Persistent link: https://www.econbiz.de/10001304972
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Loss aversion in a futures market : an empirical test
Heisler, Jeffrey - In: Review of futures markets 13 (1994) 3, pp. 793-822
Persistent link: https://www.econbiz.de/10001169328