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Are term premiums predictable in Central European countries? : the forward rates agreements (FRA) application
Makovský, Petr - In: Eastern European economics : EEE 62 (2024) 2, pp. 187-218
Persistent link: https://www.econbiz.de/10014551375
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The determinants of the swap spread and understanding the LIBOR term premium
Choudhry, Moorad - 2008
Persistent link: https://www.econbiz.de/10003763816
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Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias (contributor); Milas, Costas (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003332090
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Impact of credit spreads, monetary policy and convergence trading on swap spreads
Chung, Hon-lun; Chan, Wai-Sum - In: International review of financial analysis 19 (2010) 2, pp. 118-126
Persistent link: https://www.econbiz.de/10008669492
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Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias; Milas, Costas; Panagiōtidēs, Theodōros - In: Journal of forecasting 26 (2007) 8, pp. 601-619
Persistent link: https://www.econbiz.de/10003608157
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A comparison of international short-term rates under no arbitrage condition
Mahdavi, Mahnaz - In: Global finance journal 18 (2008) 3, pp. 303-318
Persistent link: https://www.econbiz.de/10003711898
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Libor Market Models with stochastic volatility and CMS spread option pricing
Lutz, Matthias - 2011
Persistent link: https://www.econbiz.de/10009375797
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Time varying risk premium and limited participation in financial markets
Wang, Xuedong - 2015
Persistent link: https://www.econbiz.de/10011279798
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of...
Persistent link: https://www.econbiz.de/10010358352