Similar Search Results

Answer to 'Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW' Issued by ISDA

Henrard, Marc P. A. - 2019

This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback...

Persistent link: https://www.econbiz.de/10012890972

Two Curves, One Price : Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - 2018

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency...

Persistent link: https://www.econbiz.de/10012940386

Credit Default Swap Spreads, Fair Value Spreads, and Interest Rate Dynamics

Yeh, Andy - 2015

swap (CDS) spread as our measure of credit risk. Also, we control for the variation in the fair-value spread that combines …. Furthermore, we empirically find that the swap interest rate variables convey material information about CDS spread movements …

Persistent link: https://www.econbiz.de/10013018836

Forward Rate Spreads Explained by Credit - Derivations

Fenger, Christian - 2015

Persistent link: https://www.econbiz.de/10013035542

OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads

Hull, John C. - 2014

Prior to 2007, derivatives practitioners used a zero curve that was bootstrapped from LIBOR swap rates to provide “risk … swap options. It also explores how more complex derivatives providing payoffs dependent on LIBOR, or any other reference … switched to using a zero curve bootstrapped from overnight indexed swap (OIS) rates for discounting. This paper explains the …

Persistent link: https://www.econbiz.de/10013062057

Libor versus OIS : The Derivatives Discounting Dilemma

Hull, John C. - 2014

Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk free rates when valuing … overnight indexed swap (OIS) rates should be used as risk-free rates when collateralized portfolios are valued and that LIBOR …

Persistent link: https://www.econbiz.de/10013062709

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Arismendi-Zambrano, Juan - 2020

Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...

Persistent link: https://www.econbiz.de/10012828071

Note on the Smith-Wilson interest rate curve

Gach, Florian - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-16

Persistent link: https://www.econbiz.de/10011568780

Implementation of stochastic yield curve duration and portfolio immunization strategies

Duedahl, Sindre - In: Journal of mathematical finance 6 (2016) 3, pp. 401-415

Persistent link: https://www.econbiz.de/10011583529

Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575