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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/10013172797

Demand-supply imbalance risk and long-term swap spreads

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

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

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704

Persistent link: https://www.econbiz.de/10011738502

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

Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates

Zhao, Chaoyi; Jia, Zijian; Wu, Lan - In: Insurance : mathematics and economics 114 (2024), pp. 156-175

Persistent link: https://www.econbiz.de/10015049388

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

A factor model of the term structure of interest rates and risk premium estimation for Latvia's money market

Ajevskis, Viktors (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003353607

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Persistent link: https://www.econbiz.de/10003979875

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10003983199