Sökning: "Interest Rate Swap"

Visar resultat 31 - 35 av 37 uppsatser innehållade orden Interest Rate Swap.

1. 31. DETERMINANTS OF CREDIT DEFAULT SWAP SPREADS: A REGIME-SHIFTING APPROACH

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Dilan Hewavitharana; Johan Rahmqvist; [2011]
   Nyckelord :credit default swap; markov switching model; principal component; determinants; regime; spread; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : This thesis investigates the theoretical determinants of the credit default swap spread by employing a regime-shifting approach. The variables that are examined are leverage, stock return, volatility and interest rate. A sample of 47 companies was selected with daily mid-market quotes between Jan 2008-Dec 2010 in order to proxy the CDS spread. LÄS MER

3. 32. An Empirical Analysis for Determinants of Interest Rate Swap Spread

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ke Zhang; Bing Liang; [2008]
   Nyckelord :interest rate; Swap spread; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : As one of the most popular derivatives to hedge interest rate risk, the variation of interest rate swap spread has been studied since its advent. Nevertheless, the variables in theory are regarded as determinant risk factors showing limited explanatory power. LÄS MER

4. 33. The Driving Force of Swap Spreads

   Magister-uppsats, Blekinge Tekniska Högskola/Sektionen för management

   Författare :Bing Liang; [2007]
   Nyckelord :error correction model; swap spread;

   Sammanfattning : The interest rate swap is one of the most popular topics that researchers work on since 1980s. Even though there are so many research papers that are about the determinant factors of interest rate swap, it shows the limited explanation. LÄS MER

5. 34. Drivers of Swedish Swap Spreads

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Erik Edward; Erik Willers; [2007]
   Nyckelord :Interest rate swap; Swap Spread; Sweden;

   Sammanfattning : According to a survey carried out by Bank of international settlements (BIS) and published by the Swedish Riksbank, the average turnover in Swedish interest rate swaps totaled almost SEK 20 billion per day in 2004. The International Swaps and derivatives association (ISDA) reported that the notional outstanding amount of privately negotiated (over the counter) derivatives at the end of 2004 was over $164 trillion around the world compared to the $31 trillion aggregated principal of all the worlds’ bond markets taken together. LÄS MER

7. 35. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Mikko Andersson; Fredrik Lööw; [2006]
   Nyckelord :Interest Rate Options; BGM-model; STIBOR;

   Sammanfattning : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. LÄS MER