that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors … influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial … the short-term interest rate has an important influence on swap yields. This implies that the Reserve Bank of India (RBI …

US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach … bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic …

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors … influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial … the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India …

-the-counter financial derivatives by econometrically modeling the dynamics of the pound sterling-denominated longterm interest rate swap … relationship between the month-over-month changes in the short-term swap yield and the month-over-month change in the long …-term swap yield, while controlling for several key macroeconomic and financial variables. The month-overmonth change in the …

The effect of European Central Bank monetary policy upon EONIA swap spreads is investigated with GARCH-Jump models. I … between main refinancing operations increase the likelihood of jumps in the swap term structure and in the size of the jumps …

We investigate if Japanese yen denominated interest rate swap spreads price risks in addition to liquidity and default … yen swap spreads are shown to contain both pro-cyclical and counter-cyclical elements of business cycle risk, positive …

-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to …

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 …