Add to ORKGData about swap rates and impinging variables were taken from multiple sources and examined using regression analysis. Results show that the identified variables, including corporate default spreads, Treasury rates, Treasury yield curve, interest rate volatility, and eurodollar rates explain changes in interest rate swap spreads
Interest rate swaps have become a popular financial derivative, and market watchers and economists a...
This thesis applies the contingent claims analysis to investigate the reasons for the development an...
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several ...
Data about swap rates and impinging variables were taken from multiple sources and examined using re...
We investigate the determinants of US swap spreads based on the development of the swap market and t...
This paper investigates the determinants of swap spreads. Compared with previous work done in this a...
In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide ...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that exp...
We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of th...
This paper argues that liquidity differences between government securities and short term Eurodollar...
The interest rate swap is one of the most popular topics that researchers work on since 1980s. Even ...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
This paper studies the market price of credit risk incorporated into one of the most important credi...
This Thesis contains an examination of the time-series properties of swap spreads, their relation wi...
Interest rate swaps have become a popular financial derivative, and market watchers and economists a...
This thesis applies the contingent claims analysis to investigate the reasons for the development an...
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several ...
Data about swap rates and impinging variables were taken from multiple sources and examined using re...
We investigate the determinants of US swap spreads based on the development of the swap market and t...
This paper investigates the determinants of swap spreads. Compared with previous work done in this a...
In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide ...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that exp...
We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of th...
This paper argues that liquidity differences between government securities and short term Eurodollar...
The interest rate swap is one of the most popular topics that researchers work on since 1980s. Even ...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
This paper studies the market price of credit risk incorporated into one of the most important credi...
This Thesis contains an examination of the time-series properties of swap spreads, their relation wi...
Interest rate swaps have become a popular financial derivative, and market watchers and economists a...
This thesis applies the contingent claims analysis to investigate the reasons for the development an...
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several ...