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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

What moves benchmark money market rates? : evidence from the BBSW market

Casavecchia, Lorenzo; Loudon, Geoffrey F.; Wu, Eliza - In: Pacific-Basin finance journal 51 (2018), pp. 137-154

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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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Demand-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022

Persistent link: https://www.econbiz.de/10013175025

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

Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads

Hanson, Samuel Gregory; Malkhozov, Aytek; Venter, Gyuri - 2022

We develop and test a model in which swap spreads are determined by end users’ demand for and constrained … intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital … Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades …

Persistent link: https://www.econbiz.de/10014255302