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 …

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 … and for bearing convergence risk—i.e., the risk spreads will move due to a future demand-and-supply imbalance. We show …

-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 …

extraction and explanation of the source of term risk. These findings provide: (i) a detailed analysis of the incomplete market … paradigm that encapsulates inter-bank term rates and the risk management processes involved therein; and (ii) theoretical and …

Stochastic BasisThis book is essential reading for quantitative analysts, risk managers and risk controllers, model validation …

swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this …