Sökning: "Swedish Government benchmark bond"

Hittade 2 uppsatser innehållade orden Swedish Government benchmark bond.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

3. 2. Determinants of Swedish Covered Bond Spreads

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

   Författare :Erik Fredriksen; Walter Minehuber; [2012]
   Nyckelord :Covered bonds; bond spreads;

   Sammanfattning : We analyze covered bonds issued by all major financial Swedish institutions. Based on theoretical considerations we deduce a linear regression model of bond spreads where the benchmark is the government curve, and the swap curve. LÄS MER